Effects of the 2008 Financial Crisis and COVID-19 Pandemic on the Dynamic Relationship between the Chinese and International Fossil Fuel Markets

Chaofeng Tang and Kentaka Aruga
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Chaofeng Tang: Graduate School of Humanities and Social Sciences, Saitama University, 255 Shimo-Okubo, Sakura-ku, Saitama 338-8570, Japan

JRFM, 2021, vol. 14, issue 5, 1-11

Abstract: This study examines whether the dynamic relationship between the Chinese and international fossil markets changed during the 2008 financial crisis and is changing during the COVID-19 pandemic. The impact of the crises are analyzed by including the periods affected by the crises as dummy variables in the VAR and VECM models. Monthly data for the 2000:1–2020:12 period were used in the study. Our results suggest that the effects of the COVID-19 on the linkages between the Chinese and international fossil fuel markets are not as evident compared to the 2008 financial crisis. The study identifies that the effects of the 2008 financial crisis and the COVID-19 pandemic on the linkages are mostly driven by the impacts of these crises on the Chinese fossil fuel markets. The study indicates the importance of controlling the risk involved in the Chinese fossil fuel market when events like the 2008 financial crisis and the COVID-19 pandemic are changing the linkages between the Chinese and international fossil fuel markets.

Keywords: Chinese fossil fuel; COVID-19 pandemic; 2008 financial crisis; natural gas (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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