Dr. Xiaohua Xia recently had a paper published in the Journal of Cleaner Production. The paper titled‘Dynamic impact of the COVID-19 lockdown intervention policies on  network structure of energy futures return connectedness’, was coauthored with Baifan Chen and Xintong Zhu from Renmin University of China, Jionghao Huang from Peking University.

Abstract

This work investigates the dynamic impact of COVID-19 lockdown policies, implemented to curb the pandemic’s  spread, on the structure of the energy futures return connectedness network (EFRCN). Firstly, we measured the  connectedness of 20 energy futures return series using the time-varying parameter vector autoregression (TVPVAR) frequency connectedness approach and constructed a directed multi-layer dynamic EFRCN. Secondly, we  developed a novel statistical indicator, the ratio of average vertex out-strength to average vertex in-strength, to  represent the spillover intensity of a specific network layer. Finally, we utilized the pruned exact linear time  (PELT) algorithm to pinpoint structural changepoints of COVID-19 lockdown policies and explored the change in  the EFRCN structure before and after these changepoints. The empirical findings demonstrate that the scales of  population and gross domestic product (GDP) impacted by the COVID-19 lockdown positively drive the average  vertex strength, density, and clustering coefficient of the EFRCN, as well as the return spillover intensity of oil  and power futures markets, respectively. Conversely, the regression results exhibit noteworthy negative causal  relationships between the scales of population and GDP impacted by the COVID-19 lockdown and the return  spillover intensity of coal and natural gas futures markets for non-periodic and short-term networks. Furthermore, the empirical results illustrate distinct structural changes in the evolution of global indicators of the nonperiodic and short-term networks at the changepoints of COVID-19 lockdown policies before June 2020. To sum  up, COVID-19 lockdown intensification increases the clustering of the EFRCN and significantly enhances the net  spillover effects of oil and power futures markets within the EFRCN. Moreover, the changes in COVID-19 lockdown policies significantly influence the EFRCN’s structure.

Other information

Publication Date:2023

Journal: Journal of Cleaner Production

DOI:https://doi.org/10.1016/j.jclepro.2023.139802

Read the paper here.