COVID-19 Pandemic Haunting the Energy Market: From the First to the Second Wave

Donia Aloui and Rafla Hchaichi

Chapter 6 in COVID-19 Pandemic and Energy Markets:Commodity Markets, Cryptocurrencies and Electricity Consumption under the COVID-19, 2021, pp 87-99 from World Scientific Publishing Co. Pte. Ltd.

Abstract: By using the structural VAR model with time-varying coefficients, this chapter aims to assess the impact of COVID-19 shocks on crude oil and natural gas S&P GSCI during the first wave and to compare it to that during the second wave. The findings confirm that S&P GS indices’ responses to COVID-19 shock are varying over time. This variation in responses can be explained by the unstable behavior of investors in an extremely uncertain environment. We find that the energy market remains vulnerable to the surge in coronavirus deaths, during the second wave, even though the damage on oil prices is less than that of the first wave. Our results show that the negative effect on the natural gas index worsens over time and becomes substantial with the arrival of the second wave.

Keywords: COVID-19; Vaccines; ANCOVA; Carbon Emissions; Natural Gas; Crude Oil; Market Co-Movement; Cryptocurrencies; CO2 Emissions; Financial Volatility; VIX; Bitcoin; Gold Oil Price War; Health Crisis; S&P GS Commodity Index; Consumption of Electricity; The Behavior of Electricity Consumption; Social Interactivity; Flow State; Energy Consumption Culture; Life Style; Teleworking; De-globalization; Eating Habits (search for similar items in EconPapers)
JEL-codes: Q43 Q5 (search for similar items in EconPapers)
Date: 2021
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