Dependence structures among geopolitical risks, energy prices, and carbon emissions prices

Chi Keung Lau; Alaa M. Soliman; Joseph Albasu; Giray Gozgor

doi:10.1016/j.resourpol.2023.103603

Dependence structures among geopolitical risks, energy prices, and carbon emissions prices

Chi Keung Lau, Alaa M. Soliman, Joseph Albasu, Giray Gozgor

Research output: Contribution to journal › Article › peer-review

Abstract

This paper examines the short-, medium-, and long-run dependence structures for all distribution quantiles among carbon emissions prices, crude oil prices, natural gas prices, and geopolitical risks in Brazil, China, India, Russia, and South Africa from January 2003 to September 2019. The paper utilises the volatility spillover approach of Diebold-Yilmaz to identify the dependence structure among crude oil prices, natural gas prices, carbon emissions prices, and geopolitical risks within the variational mode decomposition-based copula method. It is observed that dependence structure across geopolitical risks and oil prices is time and frequency varying. It is also found that the dependence structure across geopolitical risks and oil prices is positive and valid at different periods and quantiles. The evidence has policy implications for hedging and portfolio risk diversification strategies and policymakers.

Original language	English
Article number	103603
Journal	Resources Policy
Volume	83
DOIs	https://doi.org/10.1016/j.resourpol.2023.103603
Publication status	Published - 1 Jun 2023
Externally published	Yes

Bibliographical note

Funding Information:
We thank five anonymous reviewers whose comments and suggestions have enhanced the paper. The usual disclaimer applies.

Publisher Copyright:
© 2023 Elsevier Ltd

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title = "Dependence structures among geopolitical risks, energy prices, and carbon emissions prices",

abstract = "This paper examines the short-, medium-, and long-run dependence structures for all distribution quantiles among carbon emissions prices, crude oil prices, natural gas prices, and geopolitical risks in Brazil, China, India, Russia, and South Africa from January 2003 to September 2019. The paper utilises the volatility spillover approach of Diebold-Yilmaz to identify the dependence structure among crude oil prices, natural gas prices, carbon emissions prices, and geopolitical risks within the variational mode decomposition-based copula method. It is observed that dependence structure across geopolitical risks and oil prices is time and frequency varying. It is also found that the dependence structure across geopolitical risks and oil prices is positive and valid at different periods and quantiles. The evidence has policy implications for hedging and portfolio risk diversification strategies and policymakers.",

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Dependence structures among geopolitical risks, energy prices, and carbon emissions prices

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