Oil price shocks and the hedging benefit of airline investments
基于贝叶斯SVAR模型，研究了航空股收益与油价在结构性供给和需求冲击下的联动关系，发现航空投资在特定油价冲击下具有避险收益。
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.