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...

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Detalles Bibliográficos
Autores: Guinea Voinea, Laurentiu, Pérez Sánchez, Rafaela María, Ruiz Andújar, Jesús
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
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oai_identifier_str oai:docta.ucm.es:20.500.14352/103700
network_acronym_str ES
network_name_str España
repository_id_str
spelling Asymmetric effects of financial volatility and volatility-of-volatility shocks on the energy mixGuinea Voinea, LaurentiuPérez Sánchez, Rafaela MaríaRuiz Andújar, JesúsC12C32C58G01G13G17Q42AsymmetriesFinancial instabilityNARDLRenewable energyVIX Volatility-of-volatilityFinanzas5312.06 Finanzas y SegurosWe 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.ElsevierUniversidad Complutense de Madrid20242024-01-0120242024-01-01journal articlehttp://purl.org/coar/resource_type/c_6501VoRhttp://purl.org/coar/version/c_970fb48d4fbd8a85info:eu-repo/semantics/articleapplication/pdfhttps://hdl.handle.net/20.500.14352/103700reponame:Docta Complutenseinstname:Universidad Complutense de Madrid (UCM)Inglésengopen accesshttp://purl.org/coar/access_right/c_abf2Attribution-NonCommercial-NoDerivatives 4.0 Internationalhttp://creativecommons.org/licenses/by-nc-nd/4.0/info:eu-repo/semantics/openAccessoai:docta.ucm.es:20.500.14352/1037002026-06-02T12:44:21Z
dc.title.none.fl_str_mv Asymmetric effects of financial volatility and volatility-of-volatility shocks on the energy mix
title Asymmetric effects of financial volatility and volatility-of-volatility shocks on the energy mix
spellingShingle Asymmetric effects of financial volatility and volatility-of-volatility shocks on the energy mix
Guinea Voinea, Laurentiu
C12
C32
C58
G01
G13
G17
Q42
Asymmetries
Financial instability
NARDL
Renewable energy
VIX Volatility-of-volatility
Finanzas
5312.06 Finanzas y Seguros
title_short Asymmetric effects of financial volatility and volatility-of-volatility shocks on the energy mix
title_full Asymmetric effects of financial volatility and volatility-of-volatility shocks on the energy mix
title_fullStr Asymmetric effects of financial volatility and volatility-of-volatility shocks on the energy mix
title_full_unstemmed Asymmetric effects of financial volatility and volatility-of-volatility shocks on the energy mix
title_sort Asymmetric effects of financial volatility and volatility-of-volatility shocks on the energy mix
dc.creator.none.fl_str_mv Guinea Voinea, Laurentiu
Pérez Sánchez, Rafaela María
Ruiz Andújar, Jesús
author Guinea Voinea, Laurentiu
author_facet Guinea Voinea, Laurentiu
Pérez Sánchez, Rafaela María
Ruiz Andújar, Jesús
author_role author
author2 Pérez Sánchez, Rafaela María
Ruiz Andújar, Jesús
author2_role author
author
dc.contributor.none.fl_str_mv Universidad Complutense de Madrid
dc.subject.none.fl_str_mv C12
C32
C58
G01
G13
G17
Q42
Asymmetries
Financial instability
NARDL
Renewable energy
VIX Volatility-of-volatility
Finanzas
5312.06 Finanzas y Seguros
topic C12
C32
C58
G01
G13
G17
Q42
Asymmetries
Financial instability
NARDL
Renewable energy
VIX Volatility-of-volatility
Finanzas
5312.06 Finanzas y Seguros
description 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.
publishDate 2024
dc.date.none.fl_str_mv 2024
2024-01-01
2024
2024-01-01
dc.type.none.fl_str_mv journal article
http://purl.org/coar/resource_type/c_6501
VoR
http://purl.org/coar/version/c_970fb48d4fbd8a85
dc.type.openaire.fl_str_mv info:eu-repo/semantics/article
format article
dc.identifier.none.fl_str_mv https://hdl.handle.net/20.500.14352/103700
url https://hdl.handle.net/20.500.14352/103700
dc.language.none.fl_str_mv Inglés
eng
language_invalid_str_mv Inglés
language eng
dc.rights.none.fl_str_mv open access
http://purl.org/coar/access_right/c_abf2
Attribution-NonCommercial-NoDerivatives 4.0 International
http://creativecommons.org/licenses/by-nc-nd/4.0/
dc.rights.openaire.fl_str_mv info:eu-repo/semantics/openAccess
rights_invalid_str_mv open access
http://purl.org/coar/access_right/c_abf2
Attribution-NonCommercial-NoDerivatives 4.0 International
http://creativecommons.org/licenses/by-nc-nd/4.0/
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Elsevier
publisher.none.fl_str_mv Elsevier
dc.source.none.fl_str_mv reponame:Docta Complutense
instname:Universidad Complutense de Madrid (UCM)
instname_str Universidad Complutense de Madrid (UCM)
reponame_str Docta Complutense
collection Docta Complutense
repository.name.fl_str_mv
repository.mail.fl_str_mv
_version_ 1869414676272513024
score 15.300719

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