Risk spillover effect of the new energy market and its hedging effectiveness: New evidence from industry chain

IF 7.9 2区经济学 Q1 ECONOMICS

Economic Analysis and Policy Pub Date : 2024-08-13 DOI:10.1016/j.eap.2024.08.009

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引用次数: 0

Abstract

During China’s industrial transformation, studying risk spillover effects and clarifying risk contagion pathways within the new energy industry chain is critical for promoting high-quality development in the new energy. The risk transmission mechanism of the new energy industry chain is explored by constructing a time–frequency index using a time-varying parameter vector autoregressive model in this paper. Additionally, we also further analyze the portfolio and hedging effectiveness of the new energy market. The findings reveal that, first, the downstream market serves as the primary risk source, propagating risk through the industry chain to the midstream and upstream sectors within the new energy industry chain contagion system. Second, the risk spillover effect of the new energy market has significant heterogeneity and time-varying due to the impact of short-term frequency domain drivers and extreme events. Third, the portfolio significantly reduces the investment risk of a single asset. With the extension of the investment horizon, investors’ portfolio weights in the upstream, midstream and downstream industries gradually tend to be even.

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新能源市场的风险溢出效应及其对冲效果：来自产业链的新证据

在中国产业转型过程中，研究新能源产业链的风险溢出效应，明确风险传染途径，对于推动新能源高质量发展至关重要。本文利用时变参数向量自回归模型构建时频指数，探索新能源产业链的风险传导机制。此外，我们还进一步分析了新能源市场的投资组合和套期保值有效性。研究结果表明：首先，下游市场是主要风险源，在新能源产业链传染体系中，通过产业链将风险传播到中上游行业。第二，受短期频域驱动因素和极端事件的影响，新能源市场的风险溢出效应具有显著的异质性和时变性。第三，投资组合大大降低了单一资产的投资风险。随着投资期限的延长，投资者在上、中、下游产业的投资组合权重逐渐趋于平均。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Economic Analysis and Policy ECONOMICS-

CiteScore

9.80

自引率

9.20%

发文量

231

审稿时长

93 days

期刊介绍： Economic Analysis and Policy (established 1970) publishes articles from all branches of economics with a particular focus on research, theoretical and applied, which has strong policy relevance. The journal also publishes survey articles and empirical replications on key policy issues. Authors are expected to highlight the main insights in a non-technical introduction and in the conclusion.