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Quantifying the impact of interest rate volatility on Asian energy companies: A comparative study of fossil and renewable sectors

Author

Listed:
  • Rao, Amar
  • Kumar, Satish
  • Gupta, Prashant
  • Dash, Saumya Ranjan

Abstract

This study examines the impact of government bond yield volatility on companies in the fossil and renewable energy sectors in five Asian countries from 2015 to 2023. The analysis uses quantile-based methods to explore the spillover effects of yield volatility on companies with high and low debt levels in these sectors. The findings show that yield volatility tends to transmit shocks at lower quantiles and over shorter periods. The network connectedness is more critical at extreme upper and lower quantiles in the short term. The results also reveal significant differences in how yield volatility affects companies with high and low leverage levels, and these effects vary across the sample countries. Overall, this research provides valuable insights into the influence of yield volatility on financial decision-making in different contexts and industries. The study's results underscore the imperative for policymakers and stakeholders in the energy industry to give precedence to improving risk management methods.

Suggested Citation

  • Rao, Amar & Kumar, Satish & Gupta, Prashant & Dash, Saumya Ranjan, 2024. "Quantifying the impact of interest rate volatility on Asian energy companies: A comparative study of fossil and renewable sectors," Energy Economics, Elsevier, vol. 133(C).
    • Handle: RePEc:eee:eneeco:v:133:y:2024:i:c:s0140988324001907
    DOI: 10.1016/j.eneco.2024.107482
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    More about this item

    Keywords

    Energy price; Yield curve; Interest rate; Spillover; Renewable energy;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
    • Q48 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Government Policy
    • G38 - Financial Economics - - Corporate Finance and Governance - - - Government Policy and Regulation
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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