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DOI10.1016/j.resourpol.2024.105032
Risk dynamics in energy transition: Evaluating downside risks and interconnectedness in fossil fuel and renewable energy markets
Zargar, Faisal Nazir; Mohnot, Rajesh; Hamouda, Foued; Arfaoui, Nadia
发表日期2024
ISSN0301-4207
EISSN1873-7641
起始页码92
卷号92
英文摘要Amidst rising concerns over climate change, the global shift from oil-powered vehicles to lithium-powered electric vehicles marks a critical pivot in the energy sector. This transition holds profound implications for the traditional dominance of oil in the energy market. This study aims to investigate the risk dynamics between the fossil fuel sector, represented by the crude oil, and the renewable energy sector, symbolized by lithium, focusing on the risk spillover and interconnectedness. The study employs a two-step approach that combines the conditional autoregressive value-at-risk (CAViaR) and time-varying parameters vector-autoregression (TVP-VAR). The study spans from January 2011 to August 2023, focusing on extreme market events like the COVID-19 pandemic and the Russia-Ukraine conflict. Findings reveal a strong tail-risk connectedness between the lithium stocks of the same country, and during extreme market events such as the COVID-19 pandemic and the Russia-Ukraine conflict, there is a strong transmission of tail risk across the lithium stocks of different countries. Moreover, a strong bidirectional tail-risk connectedness is observed between crude oil and lithium stocks. The study has important implications for portfolio managers, fund managers and investors with respect to portfolio optimization and asset allocation. Also, the findings have important implications for financial risk management with respect to energy transition from fossil fuels to renewable energy.
英文关键词Lithium; Crude oil; Fossil fuels; Renewable energy; Tail risk; Connectedness; COVID19; Russia-Ukraine conflict
语种英语
WOS研究方向Environmental Sciences & Ecology
WOS类目Environmental Studies
WOS记录号WOS:001236237100001
来源期刊RESOURCES POLICY
文献类型期刊论文
条目标识符http://gcip.llas.ac.cn/handle/2XKMVOVA/297111
作者单位Ajman University; Universite de Gabes; Universite de la Manouba
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GB/T 7714
Zargar, Faisal Nazir,Mohnot, Rajesh,Hamouda, Foued,et al. Risk dynamics in energy transition: Evaluating downside risks and interconnectedness in fossil fuel and renewable energy markets[J],2024,92.
APA Zargar, Faisal Nazir,Mohnot, Rajesh,Hamouda, Foued,&Arfaoui, Nadia.(2024).Risk dynamics in energy transition: Evaluating downside risks and interconnectedness in fossil fuel and renewable energy markets.RESOURCES POLICY,92.
MLA Zargar, Faisal Nazir,et al."Risk dynamics in energy transition: Evaluating downside risks and interconnectedness in fossil fuel and renewable energy markets".RESOURCES POLICY 92(2024).
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