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

Energy Reports

Sukrit Thongkairat¹  Paravee Maneejuk¹  Wilawan Srichaikul² 

[1] Center of Excellence in Econometrics, Faculty of Economics, Chiang Mai University, Chiang Mai 50200, Thailand;Corresponding author.;

关键词: Co-movement;    COVID-19 shock;    Energy markets;    Markov Switching Dynamic Copula-based approach;   

DOI  :  

来源: DOAJ

【 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.

【 授权许可】

Unknown