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

Author

Listed:
  • Chinmaya Behera
  • Pramod Kumar Mishra

    (Economics and General Management, Goa Institute of Management, India)

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.

Suggested Citation

  • Chinmaya Behera & Pramod Kumar Mishra, 2022. "Interconnectedness and Nonlinearity in Indian Energy Futures During the COVID-19 Pandemic," Energy RESEARCH LETTERS, Asia-Pacific Applied Economics Association, vol. 3(2), pages 1-5.
    • Handle: RePEc:ayb:jrnerl:56
    DOI: 2022/06/17
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    References listed on IDEAS

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    2. Chkili, Walid & Nguyen, Duc Khuong, 2014. "Exchange rate movements and stock market returns in a regime-switching environment: Evidence for BRICS countries," Research in International Business and Finance, Elsevier, vol. 31(C), pages 46-56.
    3. Prasad Bal, Debi & Narayan Rath, Badri, 2015. "Nonlinear causality between crude oil price and exchange rate: A comparative study of China and India," Energy Economics, Elsevier, vol. 51(C), pages 149-156.
    4. David Gabauer, 2020. "Volatility impulse response analysis for DCC‐GARCH models: The role of volatility transmission mechanisms," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(5), pages 788-796, August.
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    Cited by:

    1. Wang, Lu & Ruan, Hang & Hong, Yanran & Luo, Keyu, 2023. "Detecting the hidden asymmetric relationship between crude oil and the US dollar: A novel neural Granger causality method," Research in International Business and Finance, Elsevier, vol. 64(C).

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    More about this item

    Keywords

    covid-19; dynamic connectedness; energy futures; nonlinearity;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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