Asymmetric effects of climate policy uncertainty, geopolitical risk, and crude oil prices on clean energy prices

Autor: Provash Kumer Sarker, Elie Bouri, Chi Keung Lau Marco
Rok vydání: 2022
Předmět:
Zdroj: Environmental Science and Pollution Research. 30:15797-15807
ISSN: 1614-7499
Popis: We investigate the asymmetric effects of climate policy uncertainty (CPU), geopolitical risk (GPR), and crude oil prices (WTI) on the realized volatility of the returns of clean energy prices (CEP) in the USA. Using the non-linear autoregressive distributed lags (NARDL) model on data from January 2001 to December 2021, we provide evidence that the effects of CPU, GPR, and WTI on CEP's returns and realized volatility differ in the short and long run and are asymmetric. An increase and decrease in CPU affect CEP's realized volatility more than returns in the long run. Notably, an increase in CPU positively affects the CEP's returns, and a decrease negatively affects CEP's returns in the short run. Moreover, an increase in GPR exerts higher effects on returns in the short run, while both an increase and a decrease in GPR have significant long-run effects. An increase or decrease in WTI shows higher effects on CEP's returns and realized volatility in the long run, while an increase in WTI shows short-run effects. Our findings provide valuable information for making investment decisions while considering the asymmetric effects of climate policy uncertainty, geopolitical risks, and crude oil prices.
Databáze: OpenAIRE