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 / 91期

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

共 50 条

[31] Time and frequency connectedness of uncertainties in cryptocurrency, stock, currency, energy, and precious metals markets
Cagli, Efe Caglar
Mandaci, Pinar Evrim
[J]. EMERGING MARKETS REVIEW, 2023, 55
[32] Dynamic dependence and risk connectedness among oil and stock markets: New evidence from time-frequency domain perspectives
Cui, Jinxin
Goh, Mark
Li, Binlin
Zou, Huiwen
[J]. ENERGY, 2021, 216
[33] Tail risk connectedness in clean energy and oil financial market
Foglia, Matteo
Angelini, Eliana
Toan Luu Duc Huynh
[J]. ANNALS OF OPERATIONS RESEARCH, 2024, 334 (1-3) : 575 - 599
[34] Tail risk connectedness in clean energy and oil financial market
Matteo Foglia
Eliana Angelini
Toan Luu Duc Huynh
[J]. Annals of Operations Research, 2024, 334 : 575 - 599
[35] Total, Asymmetric and Frequency Connectedness between Oil and Forex Markets
Barunik, Jozef
Kocenda, Evzen
[J]. ENERGY JOURNAL, 2019, 40 : 157 - 174
[36] Measuring the Time-Frequency Dynamics of Return and Volatility Connectedness in Global Crude Oil Markets
Toyoshima, Yuki
Hamori, Shigeyuki
[J]. ENERGIES, 2018, 11 (11)
[37] Directional predictability and time-frequency spillovers among clean energy sectors and oil price uncertainty
Urom, Christian
Mzoughi, Hela
Ndubuisi, Gideon
Guesmi, Khaled
[J]. QUARTERLY REVIEW OF ECONOMICS AND FINANCE, 2022, 85 : 326 - 341
[38] Return and volatility connectedness among the BRICS stock and oil markets
Chang, Hao-Wen
Chang, Tsangyao
Lee, Chien-Chiang
[J]. RESOURCES POLICY, 2023, 86
[39] Precious metal returns and oil shocks: A time varying connectedness approach
Rehman, Mobeen Ur
Shahzad, Syed Jawad Hussain
Uddin, Gazi Salah
Hedstrom, Axel
[J]. RESOURCES POLICY, 2018, 58 : 77 - 89
[40] Time-frequency dependence and connectedness among global oil markets: Fresh evidence from higher-order moment perspective
Cui, Jinxin
Maghyereh, Aktham
[J]. JOURNAL OF COMMODITY MARKETS, 2023, 30

← 1 2 3 4 5 →