COVID-19 and oil market risks: Evidence from new datasets.

We evaluate the predictive value of the newly constructed six COVID-19 indices for oil market risks from 31st December, 2019 (when COVID-19 started) to 28th December, 2021. We show that, on average, higher values of the COVID-19 indices appear to have heightened oil market risks albeit with the converse for Vaccine index regardless of the choice of oil price proxy. The predictive value of the indices is sustained over multiple out-of-sample forecasts and we attribute the outcome to the increased uncertainties associated with the pandemic. Therefore, measures aimed at mitigating these uncertainties can help moderate the oil market risks.•Testing the predictive value of the newly constructed COVID-19 measures for the out-of-sample forecasting of oil market risks.•Increased uncertainties associated with the pandemic tend to raise the level of oil market risks.•Measures aimed at mitigating these uncertainties can help moderate the oil market risks.