Template-Type: ReDIF-Article 1.0 
Author-Name: Ismail Fasanya  
Author-Name:   Oluwatomisin Oyewole
Author-Email:  contact.apaea@gmail.com
Author-Workplace-Name: Asia Pacific Applied Economics Association
Title: Infectious Diseases-Energy Futures Nexus - A Quantile-on-Quantile Approach
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.
Classification-JEL:  O
Keywords:  nonparametric,quantile,causality,nonparametric quantile causality
Journal:  Energy RESEARCH LETTERS
Pages: 1-4
Volume: 1
Issue: 1
Year:  2021
DOI:  2021/06/16
File-URL:  https://erl.scholasticahq.com/api/v1/articles/18267-infectious-diseases-energy-futures-nexus-a-quantile-on-quantile-approach.pdf
File-Format:  Application/pdf
Handle: RePEc:ayb:jrnerl:10