Sheng, XinKim, Won JoongGupta, RanganJi, Qiang2023-10-052023-10-052023-05Sheng, X., Kim, W.J., Gupta, R. et al. 2023, 'The impacts of oil price volatility on financial stress: is the COVID-19 period different?', International Review of Economics & Finance, vol. 85, pp. 520-532, doi : 10.1016/j.iref.2023.02.006.1059-0560 (print)1873-8036 (online)10.1016/j.iref.2023.02.006http://hdl.handle.net/2263/92719DATA AVAILABILITY : Data will be made available on request.This study analyses the effects of oil price volatility on financial stress with various measures for a large panel of countries. The study places a special focus on comparing the pattern of these effects during the Great Recession period and the COVID-19 recession period. Using the local projection approach, the paper finds that oil price volatility has a positive and persistent effect on financial stress. However, the magnitude and the degree of persistency of oil price volatility impacts on financial stress are much greater for the Great Recession period than for the COVID-19 recession period. A possible explanation for this result would be that COVID-19 is better thought of as a “natural disaster” in which companies under stress were not being mismanaged. Another explanation would be that active intervention by the government through monetary and fiscal channels reduces the sensitivity of financial instability to oil price volatility during the COVID-19 period.en© 2023 Elsevier Inc. All rights reserved. Notice : this is the author’s version of a work that was submitted for publication in International Review of Economics and Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms are not reflected in this document. A definitive version was subsequently published in International Review of Economics and Finance, vol. 85, pp. 520-532, 2023, doi : 10.1016/j.iref.2023.02.006.COVID-19 recessionCoronavirus disease 2019 (COVID-19)Global financial crisis (GFC)Local projection Impulse responseFinancial stress index (FSI)Oil price volatilitySDG-08: Decent work and economic growthPreprint Article