Do global COVOL and geopolitical risks affect clean energy prices? Evidence from explainable artificial intelligence models

IF 13.6 2区经济学 Q1 ECONOMICS

Energy Economics Pub Date : 2025-01-01 DOI:10.1016/j.eneco.2024.108112

Sami Ben Jabeur , Yassine Bakkar , Oguzhan Cepni

引用次数: 0

Abstract

We investigate the impact of global common volatility and geopolitical risks on clean energy prices. Our study utilizes daily data from January 1, 2001, to March 18, 2024. Using a new framework based on explainable artificial intelligence (XAI) methods, our findings demonstrate that the COVOL index outperforms the geopolitical risk index in accurately predicting clean energy prices. Furthermore, the Extreme Trees algorithm shows superior performance compared to traditional regression techniques. Our findings indicate that XAI improves transparency, thereby making a substantial contribution to agile decision-making in predicting clean energy prices. Practitioners, including investors and portfolio managers, can enhance investment decisions and manage systemic risks by incorporating COVOL into their risk assessment and asset allocation models.

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全球COVOL和地缘政治风险会影响清洁能源价格吗？证据来自可解释的人工智能模型

我们研究了全球共同波动和地缘政治风险对清洁能源价格的影响。我们的研究使用了从2001年1月1日到2024年3月18日的每日数据。使用基于可解释人工智能（XAI）方法的新框架，我们的研究结果表明，COVOL指数在准确预测清洁能源价格方面优于地缘政治风险指数。此外，与传统的回归技术相比，极限树算法显示出优越的性能。我们的研究结果表明，XAI提高了透明度，从而对预测清洁能源价格的敏捷决策做出了重大贡献。从业人员，包括投资者和投资组合经理，可以通过将COVOL纳入他们的风险评估和资产配置模型来增强投资决策和管理系统风险。

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

Energy Economics ECONOMICS-

CiteScore

18.60

自引率

12.50%

发文量

524

期刊介绍： Energy Economics is a field journal that focuses on energy economics and energy finance. It covers various themes including the exploitation, conversion, and use of energy, markets for energy commodities and derivatives, regulation and taxation, forecasting, environment and climate, international trade, development, and monetary policy. The journal welcomes contributions that utilize diverse methods such as experiments, surveys, econometrics, decomposition, simulation models, equilibrium models, optimization models, and analytical models. It publishes a combination of papers employing different methods to explore a wide range of topics. The journal's replication policy encourages the submission of replication studies, wherein researchers reproduce and extend the key results of original studies while explaining any differences. Energy Economics is indexed and abstracted in several databases including Environmental Abstracts, Fuel and Energy Abstracts, Social Sciences Citation Index, GEOBASE, Social & Behavioral Sciences, Journal of Economic Literature, INSPEC, and more.