Template-Type: ReDIF-Article 1.0 
Author-Name: Chinmaya Behera
Author-Name: Pramod Kumar Mishra
Author-Email:  chinmayaeco@gmail.com
Author-Workplace-Name:  Economics and General Management, Goa Institute of Management, India
Title: Interconnectedness and Nonlinearity in Indian Energy Futures During the COVID-19 Pandemic
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.
Classification-JEL:  G11,G15,G18
Keywords:  covid-19,dynamic connectedness,energy futures,nonlinearity
Journal:  Energy RESEARCH LETTERS
Pages: 1-5
Volume: 3
Issue: 2
Year:  2022
DOI:  2022/06/17
File-URL:  https://erl.scholasticahq.com/api/v1/articles/32629-interconnectedness-and-nonlinearity-in-indian-energy-futures-during-the-covid-19-pandemic.pdf
File-Format:  Application/pdf
Handle:  RePEc:ayb:jrnerl:56