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Examining the behaviour of energy prices to COVID-19 uncertainty: A quantile on quantile approach

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  • Khan, Khalid
  • Su, Chi-Wei
  • Zhu, Meng Nan

Abstract

The energy market is extremely vulnerable to the uncertainty caused by the pandemic and leads to global lockdowns and stagnant economic activity. This study is important because energy prices (EPs) experience a dramatic decline due to the pandemic, which has negative consequences for the global economy. We aim to analyze EPs behaviour to coronavirus (COVID-19) from 2020:01 to 2021:05. The finding shows that EPs are extremely vulnerable to the uncertainty produced by the pandemic in the short run. The COVID-19 has a negative effect on EPs in the medium to upper quantile, which suggests that higher uncertainty caused by the pandemic results in rapid decline. However, the impact of the COVID-19 is greater on the oil prices (OPs) as compared to the natural gas (NGP) and the heating oil price (HOP). Moreover, the finding reveals that COVID-19 impact on EPs are consistently negative across all the quantile. The degree of the impact increases when the relationship changes from short to long run. The pandemic has affected the energy price in the short run, which needs prudent policies to fully grasp the magnitude of the COVID-19 impact on energy prices.

Suggested Citation

  • Khan, Khalid & Su, Chi-Wei & Zhu, Meng Nan, 2022. "Examining the behaviour of energy prices to COVID-19 uncertainty: A quantile on quantile approach," Energy, Elsevier, vol. 239(PE).
    • Handle: RePEc:eee:energy:v:239:y:2022:i:pe:s0360544221026797
    DOI: 10.1016/j.energy.2021.122430
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    More about this item

    Keywords

    Energy prices; Oil prices; COVID-19; Quantile-on-quantile; Wavelet transforms;
    All these keywords.

    JEL classification:

    • Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices
    • B4 - Schools of Economic Thought and Methodology - - Economic Methodology

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