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DOI | 10.1016/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 |
ISSN | 0301-4207 |
EISSN | 1873-7641 |
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
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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 |
推荐引用方式 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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