Evaluation of cross-quantile dependence and causality between non-ferrous metals and clean energy indexes
Evaluation of cross-quantile dependence and causality between non-ferrous metals and clean energy indexes
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DOI：
10.1016/j.energy.2020.117777
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发表时间：
2020-07
期刊：
影响因子：
9
通讯作者：
Muhammad Yahya;Sajal Ghosh;K. Kanjilal;Anupam Dutta;G. Uddin
中科院分区：
文献类型：
--
作者：
Muhammad Yahya;Sajal Ghosh;K. Kanjilal;Anupam Dutta;G. Uddin
本文利用2003年11月至2019年5月的数据，对有色金属与清洁能源指数之间的交叉分位相关性和因果关系进行了分析。具体地说，我们利用时变联系数来检验资产之间的非对称连通性。在评估相关性的基础上，我们利用时间静态和时变的交叉量化图方法来评估不同分位数之间的非对称相关性。最后，我们在分位数分析中使用格兰杰因果关系来评估标的资产收益分布的不同分位数之间的因果关系。通过利用时变Copula，我们报告了资产之间的条件依赖是时变的和不对称的，并且可能存在尾部依赖。我们的交叉量化图分析结果进一步证明了互联性在分位数之间是不对称的，并且随着滞后时间的增加而增加。此外，我们还报告了极端市场状况对依赖结构的正向影响。最后，我们从分位数的格兰杰因果关系中发现，资产之间的双向因果关系随着滞后阶数的增加而加剧。这些发现对于旨在通过将全球能源格局转变为清洁和可再生能源来减轻气候变化影响的政府政策具有重要意义。
This paper analyzes the cross-quantile dependence and causality between non-ferrous metals and clean energy indices by employing data from November 2003 to May 2019. Specifically, we utilize the time-varying copulas to examine the asymmetric connectedness among the assets. Based on the assessed dependence, we utilize the time-static and time-varying cross-quantilogram approach to evaluate the asymmetric dependence across different quantiles. Finally, we employ a Granger-causality in quantiles analysis to assess the causal relationship across different quantiles of the return distributions of the underlying assets. By utilizing time-varying copulas, we report that the conditional dependence between the assets is time-varying and asymmetric with the potential for tail dependence. Our results from the cross-quantilogram analysis provide further evidence that the interconnectedness is asymmetric across quantiles, and it increases with the increase in lags. In addition, we report that extreme market conditions positively influence the dependence structure. Finally, our findings from Granger-causality in quantiles indicate bidirectional causality among assets that intensifies with the increase in lag order. These findings are important for governmental policies that aim at mitigating the impact of climate change by transforming the global energy landscape towards clean and renewable energy sources.