Wavelet-based test of co-movement and causality between oil and renewable energy stock prices
Juan Reboredo (),
Miguel A. Rivera-Castro and
Andrea Ugolini ()
Energy Economics, 2017, vol. 61, issue C, 241-252
We studied co-movement and causality between oil and renewable energy stock prices using continuous and discrete wavelets, firstly, to obtain information on dynamic correlations over time and for different time scales from wavelet coherence and, secondly, to obtain information on linear and non-linear Granger causality in the time-frequency domain. For general and sectoral renewable energy indices for the period 2006–2015, our findings indicate that dependence between oil and renewable energy returns in the short run was weak but gradually strengthened towards the long run, mainly for the period 2008–2012. Our causality tests provide evidence against linear causality at higher frequencies and in favour of unidirectional and bidirectional linear causality at lower frequencies. In contrast, we found consistent evidence of non-linear causality running from renewable energy indices to oil prices at different time horizons and mixed evidence of causality running from oil to renewable energy prices. These results have potential implications for investors in terms of hedging and for policymakers in terms of policy support decisions regarding the development of renewable energy.
Keywords: Oil prices; Renewable energy; Wavelets; Wavelet coherence; Causality (search for similar items in EconPapers)
JEL-codes: C58 G10 Q42 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (2) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:61:y:2017:i:c:p:241-252
Access Statistics for this article
Energy Economics is currently edited by R. S. J. Tol and J. P. Weyant
More articles in Energy Economics from Elsevier
Series data maintained by Dana Niculescu ().