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Time-varying co-movement analysis between COVID-19 shocks and the energy markets using the Markov Switching Dynamic Copula approach
- Source :
- Energy Reports, Vol 7, Iss, Pp 81-88 (2021)
- Publication Year :
- 2021
- Publisher :
- Elsevier BV, 2021.
-
Abstract
- The spread of the COVID-19 pandemic in 2020 has contributed a large impact on various economic sectors and the energy sector is no exception. In this paper, we analyze the time-varying correlation between COVID-19 shocks (positive and negative) and energy markets (natural gas, gasoil, heating oil, coal, and crude oil) in the time-varying environment. This study adds to the literature by implementing the Markov-switching dynamic copula with Student-t distribution to explore the unexpected COVID-19 pandemic shock effects on energy markets. Our results revealed that (i) there is evidence of correlation between COVID-19 shocks and all energy markets; (ii) the contributions of COVID-19 shocks on energy markets are not constant along 2020. (iii), there is evidence of a similar response of the energy markets to the positive and negative COVID-19 shocks.
- Subjects :
- COVID-19 shock
Coronavirus disease 2019 (COVID-19)
Markov chain
business.industry
Co-movement
020209 energy
Economic sector
Distribution (economics)
02 engineering and technology
Energy markets
TK1-9971
Copula (probability theory)
Shock (economics)
Heating oil
General Energy
020401 chemical engineering
0202 electrical engineering, electronic engineering, information engineering
Econometrics
Economics
Markov Switching Dynamic Copula-based approach
Electrical engineering. Electronics. Nuclear engineering
0204 chemical engineering
business
Energy (signal processing)
Subjects
Details
- ISSN :
- 23524847
- Volume :
- 7
- Database :
- OpenAIRE
- Journal :
- Energy Reports
- Accession number :
- edsair.doi.dedup.....e5f7659450c87558a195090fed01205e