Time and frequency connectedness among oil shocks, electricity and clean energy markets

Muhammad Abubakr Naeem, Zhe Peng, Mouhammed Tahir Suleman, Rabindra Nepal and Syed Jawad Hussain Shahzad

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

Abstract: This paper examines the time and frequency dynamics of connectedness between oil price shocks (demand and supply), and energy, electricity, carbon and clean energy markets using the methodology developed by Diebold and Yilmaz (2012) and Barunik and Krehlik (2018). The empirical findings show that there is time-varying connectedness among all variables in the sample. We find increased connectedness during the global financial crisis as well as in the shale oil revolution period. The total connectedness is more significant and higher in the short-term compared to the long-term. Net pairwise directional connectedness become more important during the shale oil revolution among oil supply, oil demand and clean energy index. The findings of the static full sample and sub-samples (GFC and SOR) provide significant evidence of the electricity futures as diversifier and safe-haven asset for oil shocks. These results can have important implications for investors and policymakers with different time horizons.

Keywords: Oil shocks; Time-frequency connectedness; Electricity market; Carbon price; Clean energy (search for similar items in EconPapers)
JEL-codes: G14 G15 Q41 Q42 (search for similar items in EconPapers)
Pages: 32 pages
Date: 2020-09
New Economics Papers: this item is included in nep-ene and nep-ets
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Citations: View citations in EconPapers (127)

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Related works:
Journal Article: Time and frequency connectedness among oil shocks, electricity and clean energy markets (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2020-81

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