Abstract
The aim of this chapter is to investigate the reaction of renewable energy and commodity markets to the adverse shocks of Covid-19 pandemic. To this purpose, we use time-varying parameter vector autoregression (TVP-VAR) approach during the period from 02 January 2020 to 17 April 2020, while distinguishing between two sub-periods: before and after the announcement of the pandemic. The results show that the returns of both European renewable energy index and major precious metals (Gold, Silver, and Platinum) have increased after the announcement of the pandemic. However, except Soybean, the agriculture commodities (Corn and Wheat) did not respond to Covid-19 shocks during the same period. Moreover, our findings reveal that the renewable energy is the most volatile market, yet the agriculture industry is the least volatile. These results support the safe haven capability of Gold and suggest the hedging ability of some precious metals and agriculture commodities in periods of the pandemic. However, the implications of the Covid-19 pandemic on renewable energy and commodity markets are expected to persist in the long term.
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Ghabri, Y., Ayadi, A. (2021). The Impact of COVID-19 Pandemic on Renewable Energy and Commodity Markets. In: Goutte, S., Guesmi, K., Boroumand, R.H., Porcher, T. (eds) Advances in Managing Energy and Climate Risks. Lecture Notes in Energy, vol 82. Springer, Cham. https://doi.org/10.1007/978-3-030-71403-1_8
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