Does Climate Risk Amplify Oil Market Volatility?

Kazeem Isah, Adedapo Odebode and Oluwafemi Ogunjemilua ()
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Oluwafemi Ogunjemilua: School of Accounting, Economics and Finance, University of KwaZulu-Natal (UKZN), South Africa

Energy RESEARCH LETTERS, 2023, vol. 4, issue 2, 1-5

Abstract: Motivated by the increasing evidence of oil price-related transition risk from climate change, we employ the classic GARCH (1,1) and its extended variant (GARCH-X) to identify the degree of oil market volatility that is due to climate risk. We find that climate risk increases the persistence of volatility in the oil markets.

Keywords: Climate risk; Oil market volatility; GARCH; GARCH-X (search for similar items in EconPapers)
JEL-codes: D81 F37 G17 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (2)

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