Time-varying co-movement analysis between COVID-19 shocks and the energy markets using the Markov Switching Dynamic Copula approach

被引：18
|
作者：
Maneejuk, Paravee [1 ]
Thongkairat, Sukrit [1 ]
Srichaikul, Wilawan [1 ]
机构：
[1] Chiang Mai Univ, Fac Econ, Ctr Excellence Econometr, Chiang Mai 50200, Thailand
来源：
ENERGY REPORTS | 2021年 / 7卷
关键词：
Co-movement; COVID-19; shock; Energy markets; Markov Switching Dynamic Copula-based approach; DEPENDENCE;
D O I：
10.1016/j.egyr.2021.05.076
中图分类号：
TE [石油、天然气工业]; TK [能源与动力工程];
学科分类号：
0807 ; 0820 ;
摘要：
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. (C) 2021 The Authors. Published by Elsevier Ltd.
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页码：81 / 88
页数：8
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