The spread of the COVID-19 pandemic in 2020 has contributed a large impact on various economic sectors and the energy sector is no exception. In this paper, we analyze the time-varying correlation between COVID-19 shocks (positive and negative) and energy markets (natural gas, gasoil, heating oil, coal, and crude oil) in the time-varying environment. This study adds to the literature by implementing the Markov-switching dynamic copula with Student-t distribution to explore the unexpected COVID-19 pandemic shock effects on energy markets. Our results revealed that (i) there is evidence of correlation between COVID-19 shocks and all energy markets; (ii) the contributions of COVID-19 shocks on energy markets are not constant along 2020. (iii), there is evidence of a similar response of the energy markets to the positive and negative COVID-19 shocks.

2020 年 COVID-19 大流行的蔓延对各个经济部门产生了巨大影响，能源部门也不例外。在本文中，我们分析了时变环境中 COVID-19 冲击（正面和负面）与能源市场（天然气、柴油、取暖油、煤炭和原油）之间的时变相关性。这项研究通过实施具有 Student-t 分布的马尔可夫转换动态 copula 来探索对能源市场的意外 COVID-19 大流行冲击影响，从而增加了文献。我们的结果表明 (i) 有证据表明 COVID-19 冲击与所有能源市场之间存在相关性；(ii) COVID-19 冲击对能源市场的贡献在 2020 年并非恒定不变。 (iii) 有证据表明，能源市场对 COVID-19 正面和负面冲击的反应类似。