EnergyRN: Energy Economics (Topic)最新文献_第2页

Frequency Connectedness and Cross-quantile Dependence Between Green Bond and Green Equity Markets 绿色债券与绿色股票市场的频率关联及交叉分位数依赖性

EnergyRN: Energy Economics (Topic) Pub Date : 2020-09-18 DOI: 10.2139/ssrn.3695934

L. Pham

{"title":"Frequency Connectedness and Cross-quantile Dependence Between Green Bond and Green Equity Markets","authors":"L. Pham","doi":"10.2139/ssrn.3695934","DOIUrl":"https://doi.org/10.2139/ssrn.3695934","url":null,"abstract":"Abstract This paper aims at investigating the frequency connectedness and cross-quantile dependence between green bond and green equity markets. By decomposing green bond and green equity time series data into different frequency bands, we first identify how the connectedness between green bond and green equity varies between the short-term, medium-term and long-term investment horizons. Next, we employ a cross-quantilogram framework to investigate the cross-quantile dependence between green bond and green equity and to capture the spillovers between these markets across a wide range of market conditions. Our empirical results suggest that after controlling for movements in the general stock, energy and fixed-income markets, the dependence between green bond and green equity during normal market conditions is relatively small. On the other hand, green bond and green equity are more connected during extreme market movements, where they boom and bust together. We also find that across all market conditions, the spillover effects between green bond and green equity are short-lived, as the degree of connectedness dissipates in the medium- and long-term investment horizons. Our results have important implications for environmentally conscious investors and policymakers.","PeriodicalId":400187,"journal":{"name":"EnergyRN: Energy Economics (Topic)","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-09-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129072914","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 104

Negative Spillovers of New Technologies: The Unequal Burden of Congestion Created by Autonomous Vehicles 新技术的负面溢出效应:自动驾驶汽车造成的不平等拥堵负担

EnergyRN: Energy Economics (Topic) Pub Date : 2020-07-26 DOI: 10.2139/ssrn.3660677

Leslie A. Martin, Zan Fairweather

引用次数: 0

Carbon Pricing Paths to a Greener Future, and Potential Roadblocks to Public Companies’ Creditworthiness 走向绿色未来的碳定价之路，以及上市公司信誉的潜在障碍

EnergyRN: Energy Economics (Topic) Pub Date : 2020-06-22 DOI: 10.21314/jem.2020.205

Giorgio Baldassarri Höger von Högersthal, A. Lui, H. Tomičić, Luka Vidovič

{"title":"Carbon Pricing Paths to a Greener Future, and Potential Roadblocks to Public Companies’ Creditworthiness","authors":"Giorgio Baldassarri Höger von Högersthal, A. Lui, H. Tomičić, Luka Vidovič","doi":"10.21314/jem.2020.205","DOIUrl":"https://doi.org/10.21314/jem.2020.205","url":null,"abstract":"As of April 23, 2019, 185 countries had ratified the 2015 Paris Agreement, committing to combating climate change and intensifying the actions and investments needed for a sustainable low-carbon future. One of the primary policy tools contemplated by governments was the introduction of (or increase in) a carbon tax to penalize firms producing greenhouse gas emissions, potentially impacting their financial performance and affecting their creditworthiness. Financial regulators in several jurisdictions plan to include climate-linked scenarios in the annual bank stress testing exercise. In this paper, we introduce a valuation-based approach to estimate how energy transition risk may impact the creditworthiness of public companies globally within the next thirty years. Leveraging company-specific carbon dioxide emissions, country- and industry-specific carbon tax scenarios and a market-driven probability of default model covering approximately 34 000 companies globally, we perform an empirical analysis incorporating both transition-related risks and opportunities. Our findings suggest that the utilities, materials, energy and consumer staples sectors may be the most default-prone industries over a fast transition. In addition, several large-revenue companies in these sectors may default on their debt obligations over the next thirty years, potentially inducing important ripple effects in the economy, at both a national and a global level.","PeriodicalId":400187,"journal":{"name":"EnergyRN: Energy Economics (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-06-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128307444","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 5

Energy Tax Exemptions and Industrial Production 能源免税和工业生产

EnergyRN: Energy Economics (Topic) Pub Date : 2020-06-17 DOI: 10.2139/ssrn.3841576

Andreas Gerster, S. Lamp

引用次数: 4

Regularized Partially Functional Autoregressive Model 正则化部分泛函自回归模型

EnergyRN: Energy Economics (Topic) Pub Date : 2020-06-07 DOI: 10.2139/ssrn.3482262

Ying Chen, Xiaofei Xu, T. Koch, Ge Zhang

{"title":"Regularized Partially Functional Autoregressive Model","authors":"Ying Chen, Xiaofei Xu, T. Koch, Ge Zhang","doi":"10.2139/ssrn.3482262","DOIUrl":"https://doi.org/10.2139/ssrn.3482262","url":null,"abstract":"Functional time series and high-dimensional scalar predictors frequently arise in \u0000a wide range of modern economic and business applications, which require statistical \u0000models that can simultaneously handle the temporal and causal dependence that are \u0000prevalent in large sets of mixed-type data. We propose a partially functional autoregressive \u0000model (pFAR) to describe the dynamic evolution of the serially correlated \u0000functional response on its own lagged values and the causal relation with a large \u0000amount of exogenous scalar predictors. Our estimation is conducted by facilitating \u0000the sieve method and a two-layer sparsity assumption that is imposed on groups \u0000and elements. In the high-dimensional setting, the sparse structure is completely \u0000unknown and it is identified entirely data-driven with a forward-looking criterion. In \u0000addition, asymptotic properties of the estimators are established. Extensive simulation \u0000studies show that the pFAR model accurately identifies the sparse structure \u0000with a convincing and stable predictive performance. The power of the pFAR model \u0000is further confirmed by real data analysis of day-ahead gas demand and supply curve \u0000predictions of multiple nodes in the German natural gas transmission network with different functions. Given the historical values of the daily curves and 85 scalar predictors, \u0000the model detects several essential categories of mixed-type predictors with \u0000insightful economic interpretation. It also provides appealing out-of-sample forecast \u0000accuracy when compared to a number of popular alternative models.","PeriodicalId":400187,"journal":{"name":"EnergyRN: Energy Economics (Topic)","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-06-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131817536","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 2

Oil Price Shocks, Global Financial Markets and Their Connectedness 油价冲击、全球金融市场及其连通性

EnergyRN: Energy Economics (Topic) Pub Date : 2020-04-17 DOI: 10.2139/ssrn.3394320

Rıza Demirer, Roman Ferrer Lapeña, Syed Jawad Hussain Shahzad

引用次数: 99

Stated Willingness to Pay for Residential Renewable Electricity and Green Jobs in Aguascalientes, Mexico 墨西哥阿瓜斯卡连特斯的居民可再生电力和绿色工作的支付意愿

EnergyRN: Energy Economics (Topic) Pub Date : 2020-04-15 DOI: 10.2139/ssrn.3577229

Adan L. Martinez-Cruz, H. Núñez

引用次数: 1

COVID-19 and Oil Prices: Effects on the Colombian Peso Exchange Rate COVID-19和油价:对哥伦比亚比索汇率的影响

EnergyRN: Energy Economics (Topic) Pub Date : 2020-04-03 DOI: 10.2139/ssrn.3567942

Carlos David Cardona-Arenas, Héctor Mauricio Serna-Gómez

引用次数: 18

Refunded Emission Payments Scheme – A Cost-Efficient and Politically Acceptable Instrument for Reduction of NOx-Emissions? 退还排放费计划-一个具成本效益及在政治上可接受的减少氮氧化物排放的工具?

EnergyRN: Energy Economics (Topic) Pub Date : 2020-04-02 DOI: 10.2139/ssrn.3567091

Arild Heimvik

{"title":"Refunded Emission Payments Scheme – A Cost-Efficient and Politically Acceptable Instrument for Reduction of NOx-Emissions?","authors":"Arild Heimvik","doi":"10.2139/ssrn.3567091","DOIUrl":"https://doi.org/10.2139/ssrn.3567091","url":null,"abstract":"The paper studies the effectiveness of a refunded emission payments (REP) scheme in achieving a specific target path of NOx-emission reductions. A REP scheme levies a charge on emissions and refunds the collected funds back to the emitting firms. REP schemes have been highlighted as a remedy to some concerns about standard emission taxes. The purpose of a REP scheme, however, is to achieve effective emission reductions. We examine two REP designs in this paper and analyze their incentives for emission mitigation at the firm level, with heterogenous firms. In the first design, refunds are given to firms based on their emission cuts. The second design gives refunds based on output shares of the emitting firms. Results show that while both designs can achieve the specific target path, only refunding based on emission-reductions is cost-efficient. The two designs target different objectives and hence, provide different mitigation incentives, and result in different distributional outcomes. On the other hand, neither design raises governmental revenue, nor do they strictly adhere to the polluter-pays-principle. However, a REP scheme has qualities that should make it appealing to regulators, especially if an effective emission tax is unfeasible.","PeriodicalId":400187,"journal":{"name":"EnergyRN: Energy Economics (Topic)","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-04-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116870766","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Bitcoin-Energy Markets Interrelationships - New Evidence 比特币与能源市场的相互关系——新证据

EnergyRN: Energy Economics (Topic) Pub Date : 2020-03-31 DOI: 10.2139/ssrn.3565085

S. Corbet, B. Lucey, L. Yarovaya

{"title":"Bitcoin-Energy Markets Interrelationships - New Evidence","authors":"S. Corbet, B. Lucey, L. Yarovaya","doi":"10.2139/ssrn.3565085","DOIUrl":"https://doi.org/10.2139/ssrn.3565085","url":null,"abstract":"The annual electricity consumption of cryptocurrency transactions has grown substantially in recent years, partially driven by the increasing difficulty in mining, but also driven by the large number of new market participants that have been attracted by the elevated prices of this developing financial asset. Total carbon production from mining now likely exceeds that generated by individual developed nations. This is now a prevailing and accepted feature in cryptocurrency markets, however unsustainable it may be. This paper investigates as to how Bitcoin's price volatility and the underlying dynamics of cryptocurrency mining characteristics affect underlying energy markets and utilities companies. Further analysis of potential side-effects within the market for Exchange Traded Funds are considered. The results show a sustained and significant influence of cryptocurrency energy-usage on the performance of some companies in the energy sector as separated by jurisdiction, emphasising the importance of further assessment of environmental impacts of cryptocurrency growth. Robustness testing presents evidence that dynamic correlations peaked during the sharp Bitcoin price appreciation of late-2017 as investors re-evaluated how this increased energy usage would influence the profitability of utility companies.","PeriodicalId":400187,"journal":{"name":"EnergyRN: Energy Economics (Topic)","volume":"51 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-03-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115219961","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 82