Dependence structures among geopolitical risks, energy prices, and carbon emissions prices

Chi Keung Lau, Alaa M. Soliman, Joseph Albasu and Giray Gözgör

Resources Policy, 2023, vol. 83, issue C

Abstract: This paper examines the short-, medium-, and long-run dependence structures for all distribution quantiles among carbon emissions prices, crude oil prices, natural gas prices, and geopolitical risks in Brazil, China, India, Russia, and South Africa from January 2003 to September 2019. The paper utilises the volatility spillover approach of Diebold-Yilmaz to identify the dependence structure among crude oil prices, natural gas prices, carbon emissions prices, and geopolitical risks within the variational mode decomposition-based copula method. It is observed that dependence structure across geopolitical risks and oil prices is time and frequency varying. It is also found that the dependence structure across geopolitical risks and oil prices is positive and valid at different periods and quantiles. The evidence has policy implications for hedging and portfolio risk diversification strategies and policymakers.

Keywords: Geopolitical risks; Carbon emissions prices; Crude oil prices; Natural gas prices; Volatility spillover; Variational mode decomposition-based copula (search for similar items in EconPapers)
JEL-codes: C32 C58 G10 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (21)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:83:y:2023:i:c:s0301420723003148

DOI: 10.1016/j.resourpol.2023.103603

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