Dynamic correlations between oil prices and the stock prices of clean energy and technology firms: The role of reserve currency (US dollar)
By Baris Kocaarslan, Ugur Soytas. Energy Economics, 2019
147 citations recorded by the source corpus.
Abstract There is increased interest in the dynamic relationships between the stock prices of clean energy and technology firms and oil prices in the literature. Existing works suggest a time-dependent link between them, but there is a gap of knowledge regarding the drivers of this time-dependent relationship. To contribute to this literature, we first identify dynamic conditional correlations (DCCs) between the prices of clean energy and technology stocks and oil prices to investigate the nature of these dynamic correlations. Our findings suggest the existence of significant asymmetric effects in the DCCs. Using the autoregressive distributed lag (ARDL) model, we then investigate the impact of reserve currency (US dollar) value changes on the DCCs while also controlling for business cycles, monetary conditions, and financial stress. Our results highlight the dominant role of US dollar appreciations in driving the DCCs. This role intensifies when asymmetric impacts are taken into account. The implications of this study are important for clean energy investments and for optimal risk management strategies in the energy and financial markets.
Subfields: Economics and Econometrics
View Paper: https://www.semanticscholar.org/paper/5288e91bfca81d684785b4656ebff7608a94d991
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In Economics and Econometrics
Citations in the corpus
- Hedging Strategies of Green Assets against Dirty Energy Assets (2020, background): “In an interesting study, Kocaarslan and Soytas [9] examine the dynamic conditional correlations between crude oil prices and renewable energy stocks and report evidence of time-varying and asymmetric correlations.”