Evaluation of cross-quantile dependence and causality between non-ferrous metals and clean energy indexes

Muhammad Yahya, Sajal Ghosh (), Kakali Kanjilal, Anupam Dutta and Gazi Uddin

Energy, 2020, vol. 202, issue C

Abstract: This paper analyzes the cross-quantile dependence and causality between non-ferrous metals and clean energy indices by employing data from November 2003 to May 2019. Specifically, we utilize the time-varying copulas to examine the asymmetric connectedness among the assets. Based on the assessed dependence, we utilize the time-static and time-varying cross-quantilogram approach to evaluate the asymmetric dependence across different quantiles. Finally, we employ a Granger-causality in quantiles analysis to assess the causal relationship across different quantiles of the return distributions of the underlying assets. By utilizing time-varying copulas, we report that the conditional dependence between the assets is time-varying and asymmetric with the potential for tail dependence. Our results from the cross-quantilogram analysis provide further evidence that the interconnectedness is asymmetric across quantiles, and it increases with the increase in lags. In addition, we report that extreme market conditions positively influence the dependence structure. Finally, our findings from Granger-causality in quantiles indicate bidirectional causality among assets that intensifies with the increase in lag order. These findings are important for governmental policies that aim at mitigating the impact of climate change by transforming the global energy landscape towards clean and renewable energy sources.

Keywords: Clean energy prices; Non-ferrous metals; Cross-quantilogram; Cross-quantile causality; Copula (search for similar items in EconPapers)
JEL-codes: C58 G10 G12 G15 Q21 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (45)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:energy:v:202:y:2020:i:c:s0360544220308847

DOI: 10.1016/j.energy.2020.117777

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