The determinants of the renewable energy stock returns and associated investments

1. 该研究将涉及可再生能源（RE）市场以及推动可再生能源使用的因素。在过去的几十年里，可再生能源行业经历了非凡的增长。2019年，国际能源署（IEA, 2019）估计，2019年至2024年间，全球可再生能源装机容量预计将增长50%，其中太阳能光伏发电的贡献最大。然而，当前的新冠肺炎危机带来了几次中断，预计2021年全球可再生能源装机容量将下降，这将是20年来的首次下降（IEA， 2020年）。鉴于联合国各国决心到2030年实现可持续发展目标，与实现这些承诺的分配相关的不确定性和潜在风险可能会对国民经济造成严重破坏，并推迟脱碳进程（UN, 2018）。因此，了解决定可再生能源部门和相关投资发展的因素是很重要的。2. 目的和目标该项目的目的是在VAR方法的背景下调查相关欧盟变量的动态，并将结果应用于政策分析/设计，这将有可能促进可再生能源生产的增加和温室气体排放的减少。这将包括调查可再生能源行业财务业绩的决定因素。将分析5个关键变量：ERIX（欧洲可再生能源总回报指数）、Brent（布伦特原油期货收盘价格）、STOXX（斯托克欧洲600技术净回报指数）、EURIBOR（3个月欧元银行间同业拆借利率）和VIX（股市波动率）。这些数据可以在它们各自的网站上找到：Societe Generale、Investing.com、STOXX Digital、法国银行和芝加哥期权交易所。向量自回归（VAR）模型是一种实证方法，旨在应用计量经济学的最新创新，如贝叶斯VAR。分析还将包括格兰杰因果检验、脉冲响应统计和历史分解，以部分减轻模型的缺点，并更好地理解数据的动态。本研究将为现有文献增加几个创新方面。它将分析可再生能源行业一些重要的新决定因素，包括金融风险，如VIX指数。本文还将在分析中采用以前没有在类似研究中使用的新变量，如银、铜和锂的价格，或其他能源（如煤或天然气）的价格。该项目还将以文献为基础，在分析中加入一些新的欧盟国家，特别是尚未在这些类型的模型中广泛使用的转型经济体。它还将纳入政策因素，例如当前的大流行和美国新总统的影响。潜在的利益和应用这个话题很重要，因为要实现减少温室气体排放的目标，就需要从消耗石油转向增加可再生能源的使用。为了提高可再生能源的产量，需要增加公共和私营部门的资源分配。在私营部门，这涉及到从金融市场筹集资金，因此需要了解推动可再生能源投资的因素，从而帮助资本在该部门的最佳配置。对推动可再生能源部署的潜在因素进行仔细的事后分析，可能有助于研究人员和政策制定者设计未来的政策路径，旨在使能源部门脱碳，减少对有限化石燃料的依赖，减少碳排放，并鼓励向可持续能源环境过渡。当投资者面临投资可再生能源行业、构建投资组合权重或计算对冲比率的决定时，他们也会认识到这一点的重要性。

1. Context of the researchThe research would be into the renewable energy (RE) market and what drives the use of RE. The RE sector has been experiencing extraordinary growth over the past few decades. In 2019, the International Energy Agency (IEA, 2019) estimated that the renewable power capacity would be expected to grow by 50% globally between 2019 and 2024 with solar PV making the largest contribution. The current Covid-19 crisis, however, brings several disruptions with worldwide installations of renewable power expected to fall in 2021, which would be the first decline in 20 years (IEA, 2020). Given countries throughout the UN are determined to achieve the Sustainable Development Goals by 2030, the uncertainty and potential risks associated with distribution to meet these commitments may cause severe disruption to national economies and delay decarbonisation advancements (UN, 2018). Therefore, it is important to understand the factors determining the development of the RE sector and associated investment. 2. Aims and objectivesThe aim of the project is to investigate the dynamics of the relevant EU variables in the context of VAR approach and apply the results towards policy analysis/design which will potentially prompt an increase in RE production and the reduction of greenhouse gas emissions. This will involve investigating the determinants of the RE industries financial performance. The 5 key variables will be analysed: ERIX (European Renewable Energy Total Return Index), Brent (Brent futures closing oil prices), STOXX (STOXX Europe 600 Technology Net Return Index), EURIBOR (3-months EURo InterBank Offered Rate) and VIX (stock market volatility). The data can be found on their respective websites: Societe Generale, Investing.com, STOXX Digital, Bank of France and Chicago Board Options Exchange. A vector autoregressive (VAR) model is a proposed empirical approach with an aim to apply the recent innovations in econometrics such as the Bayesian VAR. The analysis will also include a Granger causality test, impulse responses statistics, and historical decomposition to partly mitigate the drawbacks of the model and to better understand the dynamics of the data.This research will add several innovative aspects to the existing literature. It would analyse some important new determinants of the RE sector, including financial risk, such as the VIX. This paper will also adopt new variables into the analysis which have not been used in similar studies before such as prices of silver, copper, and lithium, or prices of other energy sources such as coal or gas. The project will also build on the literature by adding in some new EU countries into the analysis, especially the transition economies that haven't been widely used in these types of models yet. It will also incorporate policy factors, such as the current pandemic and effects of a new president in the US.3. Potential benefits and applicationsThis topic is important because to meet the targets for reductions in greenhouse gas emissions, there needs to be a move away from the consumption of oil and towards increased use of RE. To enable greater RE production, there needs to be increased public and private sector resources allocated to it. In the private sector this involves raising funds from the financial markets, so the factors driving the investments in RE needs to be understood thus aiding the allocation of capital in this sector optimally.The careful ex-post analysis of the underlying factors driving RE deployment may aid researchers and policy makers alike in the design of future policy pathways aiming to decarbonise the energy sector, reduce dependency on finite fossil fuels, decrease carbon emissions and encourage the transition towards a sustainable energy environment. The significance is also recognised by investors when they are faced with the decision to invest into the RE sector, construct portfolio weights or calculate hedge ratios.