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

Khalid Khan, Chi-Wei Su and Meng Nan Zhu

Energy, 2022, vol. 239, issue PE

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.

Keywords: Energy prices; Oil prices; COVID-19; Quantile-on-quantile; Wavelet transforms (search for similar items in EconPapers)
JEL-codes: B4 Q40 Q41 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (25)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:energy:v:239:y:2022:i:pe:s0360544221026797

DOI: 10.1016/j.energy.2021.122430

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