1. Time-varying co-movement analysis between COVID-19 shocks and the energy markets using the Markov Switching Dynamic Copula approach
- Author
-
Sukrit Thongkairat, Wilawan Srichaikul, and Paravee Maneejuk
- 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) - 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.
- Published
- 2021
- Full Text
- View/download PDF