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Uncertainties and extreme risk spillover in the energy markets: A time-varying copula-based CoVaR approach
Chinese Acad Sci, Peoples R China; Univ Chinese Acad Sci, Peoples R China.
Beihang Univ, Peoples R China.
Linköping University, Department of Management and Engineering, Business Administration. Linköping University, Faculty of Arts and Sciences.
Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
2018 (English)In: Energy Economics, ISSN 0140-9883, E-ISSN 1873-6181, Vol. 76, p. 115-126Article in journal (Refereed) Published
Abstract [en]

In this paper, we explore the impact of uncertainties on energy prices by measuring four types of Delta Conditional Value-at-Risk (Delta CoVaR) using six time-varying copulas. Three different measures of uncertainty (economic policy, financial markets and energy markets) are considered, and the magnitude and asymmetric effects of their influence are investigated. Our results suggest that there generally exists negative dependence between energy returns and changes in uncertainty. The risks of clean energy and crude oil returns are more sensitive to uncertainties in the financial and energy markets, while the impact of economic policy uncertainty is relatively weak. The upside and downside CoVaRs and Delta CoVaRs demonstrate significant asymmetric effects in response to extreme uncertainty movement. Our findings therefore have important implications for energy portfolio investment. (C) 2018 Elsevier B.V. All rights reserved.

Place, publisher, year, edition, pages
ELSEVIER SCIENCE BV , 2018. Vol. 76, p. 115-126
Keywords [en]
Uncertainty; Time-varying copula; Delta CoVaR; Extreme risk
National Category
Economic History
Identifiers
URN: urn:nbn:se:liu:diva-153706DOI: 10.1016/j.eneco.2018.10.010ISI: 000453498400009OAI: oai:DiVA.org:liu-153706DiVA, id: diva2:1276193
Note

Funding Agencies|National Natural Science Foundation of China [71774152, 91546109]; Youth Innovation Promotion Association of the Chinese Academy of Sciences [Y7X0231505]; Jan Wallander and Tom Hedelius Foundation

Available from: 2019-01-07 Created: 2019-01-07 Last updated: 2019-01-07

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CiteExportLink to record
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Citation style
  • apa
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  • ieee
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  • Other style
More styles
Language
  • de-DE
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  • nn-NB
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More languages
Output format
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