Oil price shocks and the hedging benefit of airline investments

Arbeitspapier

In the light of finite oil reserves, Persian Gulf oil-exporting economies have recently undertaken major investments in their domestic travel and tourism industries. Building on the Bayesian SVAR model of the global oil market in Baumeister and Hamilton (2019), we investigate the conditional comovement of airline stock returns with real oil prices in response to structural oil supply and demand shocks. We find that investing in the Datastream World Airline Index offers a hedging benefit conditional on oil supply, consumption demand, and inventory demand shocks, whereas there is no evidence of systematic positive or negative comovement following shocks to world economic activity and airline stock returns.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Working Paper ; No. 2114

Classification and Topics

• Classification: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Mining, Extraction, and Refining: Hydrocarbon Fuels ; Air Transportation ; Energy: Demand and Supply; Prices
• Subject: Airline excess returns ; Bayesian SVAR model ; Hedging ; Oil price shocks

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Güntner, Jochen ; Öhlinger, Peter
• Event: Veröffentlichung
• (who): Johannes Kepler University of Linz, Department of Economics
• (where): Linz
• (when): 2021

Further information

• Handle: http://hdl.handle.net/10419/249043
• Last update: 10.03.2025, 11:45 AM CET