Time and frequency connectedness among oil shocks, electricity and clean energy markets

被引：158

作者：

Naeem, Muhammad Abubakr ^{[1
]}

Peng, Zhe ^{[2
]}

Suleman, Mouhammed Tahir ^{[3
]}

Nepal, Rabindra ^{[4
]}

Shahzad, Syed Jawad Hussain ^{[5
,6
]}

机构：

[1] Massey Univ, Sch Econ & Finance, Auckland, New Zealand

[2] Wilfrid Laurier Univ, Lazaridis Sch Business & Econ, Waterloo, ON, Canada

[3] Univ Otago, Dept Accounting & Finance, Dunedin, New Zealand

[4] Univ Wollongong, Sch Accountancy Econ & Finance, Wollongong, NSW, Australia

[5] Montpellier Business Sch, Montpellier, France

[6] South Ural State Univ, Chelyabinsk, Russia

来源：

ENERGY ECONOMICS | 2020年 / 91卷

关键词：

Electricity market; Oil shocks; Carbon price; Clean energy; Time and frequency connectedness; IMPULSE-RESPONSE ANALYSIS; VOLATILITY SPILLOVERS; STOCK-PRICES; RENEWABLE ENERGY; CRUDE-OIL; CARBON; UNCERTAINTY; DEPENDENCE; RISK; TECHNOLOGY;

D O I：

10.1016/j.eneco.2020.104914

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper examines the time and frequency connectedness among electricity, carbon and clean energy markets, and oil price demand and supply shocks. In doing so, we use the spillover method proposed by Diebold and Yilmaz (2012) and its extension in the frequency domain by Barunik and Kfehlik (2018). We find increased connectedness during the global financial crisis as well as in the shale oil revolution period. The total connectedness is also higher in the short-run compared to the long-run. Due to their low connectedness, electricity futures can act as a risk diversifier and safe-haven asset against oil shocks. Net pairwise directional connectedness among oil shocks and the clean energy index is higher during the shale oil revolution. These results have important implications for investors with different investment time horizons. (C) 2020 Elsevier B.V. All rights reserved.

引用

页数：13

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