Multiscale Energy Price Modeling during Covid Period: Time-Varying Analysis Based on Wavelet Approach

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Authors: Anyssa Trimech and Safa Souara
Page Range: 165-177
Published in: International Journal of Energy, Environment, and Economics, Volume 29 Issue 2
ISSN: 1054-853X

ISBN: N/A Category:

Table of Contents

ABSTRACT

This paper proposes a multi-scale energy price study highlighting the impact of financial market, political uncertainty and COVID-19 across different time scales. Indeed, we have observed the strong positive dependence between explanatory power and time horizon. In addition, the significance of variables and the sensitivity of energy prices are highly dependent on it. In particular, the oil price is more influenced than the natural gas price, a fact which exposes less important responses and remains almost constant for the different scales.

Keywords: crude oil prices, natural gas prices, economic policy uncertainty, COVID-19, multiscale analysis, financial market