Analyzing the Impact of COVID-19 Pandemic and Ukraine-Russia War in WTI-Brent Spread: A MFXDFA Approach

This study investigates the dynamic interplay between WTI and Brent crude oil benchmarks during critical periods marked by COVID-19 and the Ukraine-Russia conflict. Utilizing the MFXDFA by means of Hurst exponent dynamics, we investigate both futures and spot crude oil prices, particularly focusing on \(WTI - Brent\) and \(WTI - Dated Brent\) spreads. The investigation encompasses four distinct periods: \(P_{0}\) (February 2019 to February 2020, predating the two significant events), \(P_{1}\) (February 2020 to February 2021, during the initial phase of the COVID-19 pandemic), \(P_{2}\) (February 2021 to February 2022, covering the pandemic and antecedent to the conflict), and \(P_{3}\) (February 2022 to February 2023, post-pandemic and amidst the Ukraine-Russia conflict). Our findings reveal strong evidence of persistence increase during COVID-19 periods ( \(P_{1}\) and \(P_{2}\) ), with \(P_{2}\) exhibiting the highest H(q) levels, signifying heightened persistence following the initial pandemic impact. However, persistence diminishes in \(P_{3}\) without returning to previous levels seen in \(P_{0}\) .