Economics at your fingertips  

Wavelet-based test of co-movement and causality between oil and renewable energy stock prices

Juan Reboredo (), Rivera-Castro, Miguel A. and Andrea Ugolini ()

Energy Economics, 2017, vol. 61, issue C, 241-252

Abstract: 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)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (25) Track citations by RSS feed

Downloads: (external link)
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:

Access Statistics for this article

Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant

More articles in Energy Economics from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

Page updated 2019-07-22
Handle: RePEc:eee:eneeco:v:61:y:2017:i:c:p:241-252