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Is there dependence and systemic risk between oil and renewable energy stock prices?

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  • Reboredo, Juan C.

Abstract

We study systemic risk and dependence between oil and renewable energy markets using copulas to characterize the dependence structure and to compute the conditional value-at-risk as a measure of systemic risk. We found significant time-varying average and symmetric tail dependence between oil returns and several global and sectoral renewable energy indices. Our evidence on systemic risk indicates that oil price dynamics significantly contributes around 30% to downside and upside risk of renewable energy companies. These results have important implications for risk management and renewable energy policies.

Suggested Citation

  • Reboredo, Juan C., 2015. "Is there dependence and systemic risk between oil and renewable energy stock prices?," Energy Economics, Elsevier, vol. 48(C), pages 32-45.
    • Handle: RePEc:eee:eneeco:v:48:y:2015:i:c:p:32-45
    DOI: 10.1016/j.eneco.2014.12.009
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    References listed on IDEAS

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    More about this item

    Keywords

    Oil prices; Renewable energy; Copulas; Systemic risk; Conditional value at risk;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • Q42 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Alternative Energy Sources

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