Asymmetric effects of financial volatility and volatility-of-volatility shocks on the energy mix
We examine the asymmetric effects of financial instability shocks and their volatility on the conventional and renewable energy mix. We utilize Chicago Board Options Exchange (CBOE) Volatility Index (VIX) and the Volatility-of-Volatility index (vVIX) in a nonlinear autoregressive distributed lag (NA...
| Autores: | , , |
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| Tipo de recurso: | artículo |
| Fecha de publicación: | 2024 |
| País: | España |
| Institución: | Universidad Complutense de Madrid (UCM) |
| Repositorio: | Docta Complutense |
| Idioma: | inglés |
| OAI Identifier: | oai:docta.ucm.es:20.500.14352/103700 |
| Acceso en línea: | https://hdl.handle.net/20.500.14352/103700 |
| Access Level: | acceso abierto |
| Palabra clave: | C12 C32 C58 G01 G13 G17 Q42 Asymmetries Financial instability NARDL Renewable energy VIX Volatility-of-volatility Finanzas 5312.06 Finanzas y Seguros |
| Sumario: | We examine the asymmetric effects of financial instability shocks and their volatility on the conventional and renewable energy mix. We utilize Chicago Board Options Exchange (CBOE) Volatility Index (VIX) and the Volatility-of-Volatility index (vVIX) in a nonlinear autoregressive distributed lag (NARDL) model to estimate the short- and long-term asymmetry effects across energy mix in Europe, the US, and China. Our estimations indicate that the long-term effects over the energy mix are more significant than their short-term effects. The results also show that the responses to the volatility of financial instability, vVIX, are different from the responses to financial instability itself, VIX, and revealed a more pronounced impact on changes in vVIX compared to VIX. We find that the asymmetries of energy mix responses to positive or negative shocks in VIX and vVIX have been decreasing over the periods. |
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