Is there dependence and systemic risk between oil and renewable energy stock prices?

Juan Reboredo

Energy Economics, 2015, vol. 48, issue C, 32-45

Abstract: We study systemic risk and dependence between oil and renewable energy markets using copulas to characterize the dependence structure and to compute the conditional value-at-risk as a measure of systemic risk. We found significant time-varying average and symmetric tail dependence between oil returns and several global and sectoral renewable energy indices. Our evidence on systemic risk indicates that oil price dynamics significantly contributes around 30% to downside and upside risk of renewable energy companies. These results have important implications for risk management and renewable energy policies.

Keywords: Oil prices; Renewable energy; Copulas; Systemic risk; Conditional value at risk (search for similar items in EconPapers)
JEL-codes: C58 G10 Q42 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (202)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:48:y:2015:i:c:p:32-45

DOI: 10.1016/j.eneco.2014.12.009

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