Time-varying co-movement analysis between COVID-19 shocks and the energy markets using the Markov Switching Dynamic Copula approach
Time-varying co-movement analysis between COVID-19 shocks and the energy markets using the Markov Switching Dynamic Copula approach
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DOI：
10.1016/j.egyr.2021.05.076
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发表时间：
2021-09-27
期刊：
影响因子：
5.2
通讯作者：
Srichaikul, Wilawan
中科院分区：
文献类型：
--
作者：
Maneejuk, Paravee;Thongkairat, Sukrit;Srichaikul, Wilawan
2020年新型冠状病毒感染症（COVID-19）疫情的扩散，给经济各领域带来了巨大冲击，能源领域也不例外。本文分析了时变环境下新冠肺炎冲击（正冲击和负冲击）与能源市场（天然气、汽油、取暖油、煤炭和原油）的时变相关性。本研究在文献的基础上，采用马尔可夫切换动态耦合模型与Student-t分布，探讨了新冠肺炎大流行对能源市场的意外冲击效应。我们的研究结果显示：(i)有证据表明，COVID-19冲击与所有能源市场之间存在相关性；（二）到2020年，2019冠状病毒病冲击对能源市场的影响不是恒定的。（三）有证据表明，能源市场对2019冠状病毒病的正面和负面冲击的反应相似。(C) 2021作者。Elsevier Ltd.出版。
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.