经济
溢出效应
可再生能源
波动性(金融)
碳价格
计量经济学
衡平法
货币经济学
温室气体
宏观经济学
政治学
法学
电气工程
工程类
生态学
生物
作者
Waqas Hanif,José Arreola Hernández,Walid Mensi,Sang Hoon Kang,Gazi Salah Uddin,Seong‐Min Yoon
标识
DOI:10.1016/j.eneco.2021.105409
摘要
This study examines frequency volatility spillovers, connectedness and the nonlinear dependence between the European emission allowance (EUA) prices and renewable energy indices. For this purpose, we use a time-scale spillover index and different copula functions. The results show a dominance of short-term volatility spillovers between carbon prices and renewable energy indices over their long-term counterpart. More importantly, the spillover strength is high between carbon prices and both S&P clean energy and wind energy indices in the short term. Meanwhile, a strong spillover is most pronounced between the clean energy indices and the carbon price in the long term. Furthermore, the carbon price is predominantly the receiver of spillovers from the clean energy indices irrespective of the time horizon. Using dynamic copula, we show positive and dynamic dependence between the carbon prices and both clean and solar indices, whereas an asymmetric tail dependence between carbon prices and renewables, technology and wind indices.
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