IDEAS home Printed from https://ideas.repec.org/p/ulp/sbbeta/2019-31.html
   My bibliography  Save this paper

About the relationship between renewable energy and oil markets

Author

Listed:
  • Gaye Del Lo

Abstract

This paper examines the link between oil and renewable energy markets. To this end, on the one hand, we identify high and low volatility states of oil markets, using the regime-switching EGARCH (1,1) model, and analyze its effects on the renewable energy market. On the other hand, we develop a methodology to identify positive and negative oil shocks and investigate their implications for renewable energy markets. We show that: (1) state shifts are clearly present in the oil and renewable energy data; (2) the volatility links between oil and renewable energy markets are regime-dependent. When the oil market is in a high-volatility regime, it exacerbates the volatility of renewable energy markets, but in a low-volatility regime, it has no effect or a stabilizing effect on the volatility of renewable energy market; (3) the results also reveal that the renewable energy market reacts positively to extreme upward movements of oil prices and negatively to extreme downward movements. These results have several implications in terms of policies, portfolio optimization and risk management.

Suggested Citation

  • Gaye Del Lo, 2019. "About the relationship between renewable energy and oil markets," Working Papers of BETA 2019-31, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
    • Handle: RePEc:ulp:sbbeta:2019-31
    as

    Download full text from publisher

    File URL: http://beta.u-strasbg.fr/WP/2019/2019-31.pdf
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Urom, Christian & Mzoughi, Hela & Abid, Ilyes & Brahim, Mariem, 2021. "Green markets integration in different time scales: A regional analysis," Energy Economics, Elsevier, vol. 98(C).

    More about this item

    Keywords

    Cliometrics; renewable energy; oil price; EGARCH(1; 1); markov-switching; VaR.;
    All these keywords.

    JEL classification:

    • Q42 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Alternative Energy Sources
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ulp:sbbeta:2019-31. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: the person in charge (email available below). General contact details of provider: https://edirc.repec.org/data/bestrfr.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.