Interconnectedness and Nonlinearity in Indian Energy Futures During the COVID-19 Pandemic

Chinmaya Behera and Pramod Kumar Mishra ()
Additional contact information
Pramod Kumar Mishra: Economics and General Management, Goa Institute of Management, India

Energy RESEARCH LETTERS, 2022, vol. 3, issue 2, 1-5

Abstract: This study examines interconnectedness and nonlinearity between energy futures indices, the exchange rate, and COVID-19 cases in India. Using a dynamic connectedness approach, the study confirms that, on average, 39.71% of the shock to one index spills over to all the other indices, including the exchange rate, whereas, on average, 60.29% of the shock affects itself. Further, the study finds nonlinear causality from crude oil futures to the exchange rate.

Keywords: covid-19; dynamic connectedness; energy futures; nonlinearity (search for similar items in EconPapers)
JEL-codes: G11 G15 G18 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://erl.scholasticahq.com/api/v1/articles/3262 ... ovid-19-pandemic.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ayb:jrnerl:56

Access Statistics for this article

Energy RESEARCH LETTERS is currently edited by Professor Nicholas Apergis (University of Texas at El Paso, USA)

More articles in Energy RESEARCH LETTERS from Asia-Pacific Applied Economics Association Contact information at EDIRC.
Bibliographic data for series maintained by Asia-Pacific Applied Economics Association ().