Infectious Diseases-Energy Futures Nexus - A Quantile-on-Quantile Approach

Ismail Fasanya and Oluwatomisin Oyewole
Authors registered in the RePEc Author Service: Jones Odei-Mensah ()

Energy RESEARCH LETTERS, 2021, vol. 1, issue 1, 1-4

Abstract: We examine the predictability of the energy futures market with a diseases-based uncertainty index using a non-parametric framework. We observe that: (1) non-linearity is significant when examining the causal relationship between uncertainties due to infectious disease outbreaks and energy future returns; (2) the non-parametric causality test shows that energy futures predictability driven by health-based uncertainty is prevalent around the lower and median quantiles; and (3) predictability is observed to be strongest for the West Texas Intermediate oil futures when the market is in a normal mode. Given the non-linearity in our data, the non-parametric test is more robust than the standard causality test.

Keywords: nonparametric; quantile; causality; nonparametric quantile causality (search for similar items in EconPapers)
JEL-codes: O (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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