Asymmetric Link Between COVID-19 and Fossil Energy Prices
Kai-Hua Wang and
Chi-Wei Su ()
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Chi-Wei Su: School of Economics, Qingdao University, China
Asian Economics Letters, 2021, vol. 1, issue 4, 1-5
This paper investigates the asymmetric relationship between COVID-19 and fossil energy prices through bootstrap Fourier Granger Causality test in quantiles. The empirical results indicate that COVID-19 influences oil and natural gas prices in high volatile quantiles. Meanwhile, no significant causal link is discovered in the coal market. Therefore, we provide some important policy implications in terms of results.
Keywords: bootstrap fourier granger causality test; energy prices; covid-19 (search for similar items in EconPapers)
JEL-codes: I1 Q41 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:ayb:jrnael:30
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