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Infectious Diseases-Energy Futures Nexus - A Quantile-on-Quantile Approach

Author

Listed:
  • Ismail Fasanya
  • Oluwatomisin Oyewole

    (Asia Pacific Applied Economics Association)

Abstract

We examine the predictability of the energy futures market with a diseases-based uncertainty index using a non-parametric framework. We observe that: (1) non-linearity is significant when examining the causal relationship between uncertainties due to infectious disease outbreaks and energy future returns; (2) the non-parametric causality test shows that energy futures predictability driven by health-based uncertainty is prevalent around the lower and median quantiles; and (3) predictability is observed to be strongest for the West Texas Intermediate oil futures when the market is in a normal mode. Given the non-linearity in our data, the non-parametric test is more robust than the standard causality test.

Suggested Citation

  • Ismail Fasanya & Oluwatomisin Oyewole, 2021. "Infectious Diseases-Energy Futures Nexus - A Quantile-on-Quantile Approach," Energy RESEARCH LETTERS, Asia-Pacific Applied Economics Association, vol. 1(1), pages 1-4.
    • Handle: RePEc:ayb:jrnerl:10
    DOI: 2021/06/16
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    References listed on IDEAS

    as
    1. Bouri, Elie & Cepni, Oguzhan & Gabauer, David & Gupta, Rangan, 2021. "Return connectedness across asset classes around the COVID-19 outbreak," International Review of Financial Analysis, Elsevier, vol. 73(C).
    2. Balcilar, Mehmet & Gupta, Rangan & Pierdzioch, Christian, 2016. "Does uncertainty move the gold price? New evidence from a nonparametric causality-in-quantiles test," Resources Policy, Elsevier, vol. 49(C), pages 74-80.
    3. Scott R. Baker & Nicholas Bloom & Steven J. Davis & Stephen J. Terry, 2020. "COVID-Induced Economic Uncertainty," NBER Working Papers 26983, National Bureau of Economic Research, Inc.
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    Citations

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    Cited by:

    1. Daniel Stefan Armeanu & Stefan Cristian Gherghina & Jean Vasile Andrei & Camelia Catalina Joldes, 2023. "Evidence from the nonlinear autoregressive distributed lag model on the asymmetric influence of the first wave of the COVID-19 pandemic on energy markets," Energy & Environment, , vol. 34(5), pages 1433-1470, August.
    2. Fasanya, Ismail & Adekoya, Oluwasegun & Oyewole, Oluwatomisin & Adegboyega, Soliu, 2022. "Investor sentiment and energy futures predictability: Evidence from Feasible Quasi Generalized Least Squares," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    3. Ismail O. Fasanya & Oluwatomisin J. Oyewole & Johnson A. Oliyide, 2021. "Can Uncertainty Due to Pandemic Predict Asia-Pacific Energy Stock Markets?," Asian Economics Letters, Asia-Pacific Applied Economics Association, vol. 2(1), pages 1-7.

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    More about this item

    Keywords

    nonparametric; quantile; causality; nonparametric quantile causality;
    All these keywords.

    JEL classification:

    • O - Economic Development, Innovation, Technological Change, and Growth

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