Asymmetric Link Between COVID-19 and Fossil Energy Prices

Abstract

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.