Wavelet-based test of co-movement and causality between oil and renewable energy stock prices

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• 作者：Juan C. Reboredo^a ; ^{juancarlos.reboredo@usc.es} ; Miguel A. Rivera-Castro^b ; ^marc@ufba.br ; Andrea Ugolini^b ; ^c ; ^{andreaugolini@me.com}
• 关键词：Oil prices ; Renewable energy ; Wavelets ; Wavelet coherence ; Causality
• 刊名：Energy Economics
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：61
• 期：Complete
• 页码：241-252
• 全文大小：4118 K
• 卷排序：61

文摘

We studied co-movement and causality between oil and renewable energy stock prices. We used continuous wavelets and linear and non-linear Granger causality in the time-frequency domain. Dependence was weak in the short run but gradually strengthened towards the long run. We found non-linear causality at higher frequencies and linear causality at lower frequencies. Non-linear causality runs from renewable energy indices to oil prices at different time horizons.