Does COVID-19 open a Pandora's box of changing the connectedness in energy commodities?

Lin, Boqiang; Su, Tong

doi:10.1016/j.ribaf.2020.101360

Cited by 98 publications

(71 citation statements)

References 57 publications

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“…When examining the similarities in the evolution of energy commodity prices, we can see that in each subperiod natural gas differs from the other commodities (generally, it forms a distinct cluster). This is confirmed by Lin and Su [14], who show that natural gas prices are the least correlated with the prices of other commodities. This is the case both before and during the pandemic.…”

Section: Third Subperiod (8 January 2021 Onwards)supporting

confidence: 60%

“…In their paper, Lin and Su [14] analyse the linkages between commodities. They point out that due to COVID-19, energy commodity prices, as well as the financial market as a whole, exhibit many strange phenomena, such as extremely high price volatility, negative oil prices, and rapidly increasing systemic risk [38].…”

Section: Literature Reviewmentioning

confidence: 99%

“…The outbreak of the pandemic also had a negative impact on the nonenergy commodities sector. Many authors highlight the linkages between commodities, which may change during crises [13][14][15][16]. The link between energy and nonenergy commodities is most often analysed.…”

Section: Introductionmentioning

confidence: 99%

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The Connections between COVID-19 and the Energy Commodities Prices: Evidence through the Dynamic Time Warping Method

2021

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The main objective of the study is to assess the similarity between the time series of energy commodity prices and the time series of daily COVID-19 cases. The COVID-19 pandemic affects all aspects of the global economy. Although this impact is multifaceted, we assess the connections between the number of COVID-19 cases and the energy commodities sector. We analyse these connections by using the Dynamic Time Warping (DTW) method. On this basis, we calculate the similarity measure—the DTW distance between the time series—and use it to group the energy commodities according to their price change. Our analysis also includes finding the time shifts between daily COVID-19 cases and commodity prices in subperiods according to the chronology of the COVID-19 pandemic. Our findings are that commodities such as ULSD, heating oil, crude oil, and gasoline are weakly associated with COVID-19. On the other hand, natural gas, palm oil, CO2 allowances, and ethanol are strongly associated with the development of the pandemic.

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Section: Third Subperiod (8 January 2021 Onwards)supporting

confidence: 60%

Section: Literature Reviewmentioning

confidence: 99%

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The Connections between COVID-19 and the Energy Commodities Prices: Evidence through the Dynamic Time Warping Method

2021

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“…Our contribution has been two-fold. On one hand, we extended the current literature on the effects of the COVID-19 pandemic on the energy sector considering six energy commodities (West Texas Intermediate crude oil, Brent crude oil, Heating oil #2, Propane, New York Harbor Conventional Gasoline Regular, and Kerosene-Type Jet Fuel), whereas previous studies mainly focused on oil and natural gas (De Blasis and Petroni 2021;Gil-Alana and Monge 2020;Lin and Su 2021;Narayan 2020;Wang and Su 2021). On the other hand, we employed multivariate GARCH models in the energy sector (Chang et al 2011;Chkili et al 2014;Ku et al 2007;Silvennoinen and Thorp 2013;Yousfi et al 2021) within a risk management setting that, for the first time in this strand of literature, considers time series sampled at mixed-frequency.…”

Section: Discussionmentioning

confidence: 99%

“…Moreover, the mobility restrictions imposed during the first and second COVID-19 waves (Arenas et al 2020;Nouvellet et al 2021;Sadowski et al 2021) shocked the aviation and transportation sectors, which represent 60% of the demand of oil and other commodities, including Propane and Kerosene-Type Jet Fuel used in our analysis (IEA 2020). Previous studies, instead, mainly focus on the effects of COVID-19 on oil and natural gas (De Blasis and Petroni 2021;Gil-Alana and Monge 2020;Lin and Su 2021;Narayan 2020). In particular, Nyga-Łukaszewska and Aruga (2020) investigate the impact of the COVID-19 cases in the US and Japan on the crude oil and natural gas markets by means of Auto-Regressive Distributive Lag approach.…”

Section: Introductionmentioning

confidence: 99%

Multivariate Analysis of Energy Commodities during the COVID-19 Pandemic: Evidence from a Mixed-Frequency Approach

Andreani

Candila

Morelli

et al. 2021

Risks

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This paper shows the effects of the COVID-19 pandemic on energy markets. We estimate daily volatilities and correlations among energy commodities relying on a mixed-frequency approach that exploits information from the number of weekly deaths related to COVID-19 in the United States. The mixed-frequency approach takes advantage of the MIxing-Data Sampling (MIDAS) methods. We compare our results to those obtained by employing two well-known models that do not account for the COVID-19 low-frequency variable, namely the Dynamic EquiCorrelation (DECO) and corrected Dynamic Conditional Correlation (cDCC). Moreover, we consider four possible specifications of the volatility: GARCH, GJR, GARCH-MIDAS, and Double-Asymmetric GARCH-MIDAS. The empirical results show that our approach is statistically superior to other models and represents a valuable methodology that can be used for risk managers, investors, and policy makers to assess the effects of the pandemic on spillovers effects in energy markets.

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The time‐varying volatility spillover effects between China's coal and metal market

Lin,

Lan

2024

Journal of Futures Markets

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This study employs a time‐varying parameter vector autoregression methodology with the Diebold and Yilmaz spillover index to scrutinize the temporal fluctuations in volatility spillovers between the Chinese coal and metal markets. The analysis is conducted from the dual perspectives of security indices and futures prices. The findings reveal a robust correlation between the coal and metal markets, with the coal market serving as a primary conduit for volatility spillover into the metal market. Furthermore, this study investigates the time‐specific impacts of coal decommissioning policies, the COVID‐19 pandemic, and the coal supply crisis on the coal–metal market volatility spillovers. The findings indicate that these three unique shocks significantly increase the overall risk spillover index between the coal and metal markets. Moreover, during these exceptional events, the extent or role of risk spillover in the coal–metal market undergoes varying degrees of change. On the basis of these findings, this article presents pertinent policy recommendations.

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Does COVID-19 open a Pandora's box of changing the connectedness in energy commodities?

Cited by 98 publications

References 57 publications

The Connections between COVID-19 and the Energy Commodities Prices: Evidence through the Dynamic Time Warping Method

The Connections between COVID-19 and the Energy Commodities Prices: Evidence through the Dynamic Time Warping Method

Multivariate Analysis of Energy Commodities during the COVID-19 Pandemic: Evidence from a Mixed-Frequency Approach

The time‐varying volatility spillover effects between China's coal and metal market

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