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Dynamic interlinkages between carbon risk and volatility of green and renewable energy: A TVP-VAR analysis

Le Thanh Ha, Ahmed Bouteska, Taimur Sharif, Mohammad Abedin

Research in International Business and Finance, Volume: 69

Swansea University Author: Mohammad Abedin

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DOI (Published version): 10.1016/j.ribaf.2024.102278

Abstract

Our paper applies a time-varying parameter vector autoregression (TVP-VAR) in combination with an extended joint connectedness approach to investigate interlinkages among carbon emissions futures and the volatility of the renewable energy sector. The findings show that the system-wide dynamic connec...

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Published in: Research in International Business and Finance
ISSN: 0275-5319
Published: Elsevier BV 2024
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URI: https://cronfa.swan.ac.uk/Record/cronfa65711
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first_indexed 2024-02-27T22:18:08Z
last_indexed 2024-02-27T22:18:08Z
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spelling v2 65711 2024-02-27 Dynamic interlinkages between carbon risk and volatility of green and renewable energy: A TVP-VAR analysis 4ed8c020eae0c9bec4f5d9495d86d415 Mohammad Abedin Mohammad Abedin true false 2024-02-27 BAF Our paper applies a time-varying parameter vector autoregression (TVP-VAR) in combination with an extended joint connectedness approach to investigate interlinkages among carbon emissions futures and the volatility of the renewable energy sector. The findings show that the system-wide dynamic connectedness realized a peak in early 2020 in the wake of the COVID-19 crisis. Net total directional connectedness proves that carbon emissions futures and wind energy play the roles of both net transmitters and net receivers of shocks in both periods – before and after the pandemic. The findings of this paper can support policy formulations to avoid rapid fluctuations in carbon prices, make the carbon price table, and limit the negative effect of carbon risk on the energy market, while promoting the protection of systemic financial risks in the renewable energy sector and ensuring a green energy supply. Journal Article Research in International Business and Finance 69 Elsevier BV 0275-5319 Carbon risk; Green and renewable energy; COVID-19 pandemic; Dynamic connectedness; Joint connectedness; TVP-VAR 1 4 2024 2024-04-01 10.1016/j.ribaf.2024.102278 COLLEGE NANME Accounting and Finance COLLEGE CODE BAF Swansea University SU Library paid the OA fee (TA Institutional Deal) 2024-03-25T13:11:48.8580524 2024-02-27T22:16:32.4055642 Faculty of Humanities and Social Sciences School of Management - Accounting and Finance Le Thanh Ha 1 Ahmed Bouteska 2 Taimur Sharif 3 Mohammad Abedin 4 65711__29599__96adb401f3ca44dea6d49691cc223f58.pdf 65711_VoR.pdf 2024-02-28T16:18:55.0504956 Output 3398200 application/pdf Version of Record true ©2024TheAuthor(s). This is an open access article under the CCBY license. true eng http://creativecommons.org/licenses/by/4.0/
title Dynamic interlinkages between carbon risk and volatility of green and renewable energy: A TVP-VAR analysis
spellingShingle Dynamic interlinkages between carbon risk and volatility of green and renewable energy: A TVP-VAR analysis
Mohammad Abedin
title_short Dynamic interlinkages between carbon risk and volatility of green and renewable energy: A TVP-VAR analysis
title_full Dynamic interlinkages between carbon risk and volatility of green and renewable energy: A TVP-VAR analysis
title_fullStr Dynamic interlinkages between carbon risk and volatility of green and renewable energy: A TVP-VAR analysis
title_full_unstemmed Dynamic interlinkages between carbon risk and volatility of green and renewable energy: A TVP-VAR analysis
title_sort Dynamic interlinkages between carbon risk and volatility of green and renewable energy: A TVP-VAR analysis
author_id_str_mv 4ed8c020eae0c9bec4f5d9495d86d415
author_id_fullname_str_mv 4ed8c020eae0c9bec4f5d9495d86d415_***_Mohammad Abedin
author Mohammad Abedin
author2 Le Thanh Ha
Ahmed Bouteska
Taimur Sharif
Mohammad Abedin
format Journal article
container_title Research in International Business and Finance
container_volume 69
publishDate 2024
institution Swansea University
issn 0275-5319
doi_str_mv 10.1016/j.ribaf.2024.102278
publisher Elsevier BV
college_str Faculty of Humanities and Social Sciences
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hierarchy_top_id facultyofhumanitiesandsocialsciences
hierarchy_top_title Faculty of Humanities and Social Sciences
hierarchy_parent_id facultyofhumanitiesandsocialsciences
hierarchy_parent_title Faculty of Humanities and Social Sciences
department_str School of Management - Accounting and Finance{{{_:::_}}}Faculty of Humanities and Social Sciences{{{_:::_}}}School of Management - Accounting and Finance
document_store_str 1
active_str 0
description Our paper applies a time-varying parameter vector autoregression (TVP-VAR) in combination with an extended joint connectedness approach to investigate interlinkages among carbon emissions futures and the volatility of the renewable energy sector. The findings show that the system-wide dynamic connectedness realized a peak in early 2020 in the wake of the COVID-19 crisis. Net total directional connectedness proves that carbon emissions futures and wind energy play the roles of both net transmitters and net receivers of shocks in both periods – before and after the pandemic. The findings of this paper can support policy formulations to avoid rapid fluctuations in carbon prices, make the carbon price table, and limit the negative effect of carbon risk on the energy market, while promoting the protection of systemic financial risks in the renewable energy sector and ensuring a green energy supply.
published_date 2024-04-01T13:11:45Z
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score 11.017797

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