本文使用向量自我迴歸模型，研究近兩次重大金融危機──2008年金融海嘯與2020年新冠肺炎大流行期間，美國股票價格、布蘭特原油期貨價格、美國兩年期公債期貨價格、美國失業率和美國製造業採購經理人指數之間的相關性。研究結果顯示，1990年至2020年變數之間存在一些重要關係。其次，2008年金融海嘯期間，布蘭特原油期貨價格的變動與上期股票報酬率呈負相關，但兩者的相關性在2020年新冠肺炎大流行時為正相關。此外，該相關係數的絕對值在兩次危機期間皆大於長期趨勢。

We use Vector Auto-regression models to investigate the correlation between stock prices, crude oil futures prices, two-year T-Note futures prices, unemployment rate and Manufacturing Purchasing Managers' Index of the USA during the most recent devastating financial crises－the Financial Crisis of 2008 and the 2020 COVID-19 pandemic. First, we find a few significant relationships between variables for a period of 1990 to 2020. Second, changes in crude oil futures price was negatively related to previous stock returns in the Financial Crisis of 2008, but the correlation changed to positive in 2020. Furthermore, correlations between these two variables were higher in absolute value during two crises than long-term one.

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