Predictability of the renewable energy market returns: The informational gains from the climate policy uncertainty

Yongan Xu, Ming Li, Wen Yan and Jiancheng Bai

Resources Policy, 2022, vol. 79, issue C

Abstract: This study investigates the forecasting ability of the Climate Policy Uncertainty (CPU) index on the global renewable energy market returns. We show that CPU is of great excellence positive predictor of the returns of the renewable energy market, and better than the forecasting ability of other predictors. Moreover, we show that a higher CPU index owns more remarkable predictive ability than a lower CPU index and the CPU index is more powerful in predicting the renewable energy market returns after the Paris agreement, which indicates the sensitivity of the renewable energy market to climate policy has dramatically increased. We also find that the predictive power CPU index can enhance the economic gain on asset allocation. Furthermore, we find some similar predictive results on the global renewable energy market in the US NASDAQ OMX Renewable Energy Generation return (GRNREG), Global X Renewable Energy Producers ETT (RNRG), and Renewable Energy Group Inc (REGI) markets.

Keywords: Climate policy; Renewable energy; Predictability; Uncertainty (search for similar items in EconPapers)
JEL-codes: C53 G17 Q47 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0301420722005840
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:79:y:2022:i:c:s0301420722005840

DOI: 10.1016/j.resourpol.2022.103141

Access Statistics for this article

Resources Policy is currently edited by R. G. Eggert

More articles in Resources Policy from Elsevier
Bibliographic data for series maintained by Catherine Liu ().