Rare disaster and renewable energy in the USA: new insights from wavelet coherence and rolling-window analysis

Sharif, Arshian; Doğan, Eyüp; Aman, Ameenullah; Khan, Hafizah Hammad Ahmad; Zaighum, Isma

doi:10.1007/s11069-020-04100-x

Cited by 7 publications

(3 citation statements)

References 74 publications

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“…For analyzing the association between economic uncertainty and the chosen variable in this research, we have used wavelet coherence (Equation (5)), wavelet-based correlation and covariance for the different time-frequency bands. Wavelet coherence plot describes the interaction of one series with another series for the different time frequencies (Chakrabarty et al ., 2015) based on coefficient values (Equation (6)) (Sharif et al ., 2020a, b). It also describes the phase differences with leading and lagging effects between the two series (Aguiar-Conraria et al ., 2008).…”

Section: Methodsmentioning

confidence: 99%

“…The QQR approach analyzes the data at different percentiles or quantiles and provides a deep understanding of the causal effect between the independent variable and dependent variable. The QQR approach is a combination of linear regression and OLS with nonparametric features (Sharif et al ., 2020a, b) followed by the given model. In our analysis, we used the width parameter of 0.05, which enables us to generate the results for 19 quantiles of both the series (independent and dependent) from 0.05 to 0.95.…”

Section: Methodsmentioning

confidence: 99%

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Dynamic association of economic policy uncertainty with oil, stock and gold: a wavelet-based approach

Soni

Nandan²,

Chatnani³

2023

JES

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PurposeThis research unfolds a holistic association between economic policy uncertainty (EPU) and three important markets (oil, stock and gold) in the Indian context. To do same, the current study uses the monthly dataset of each variable spanning from November 2005 to March 2022.Design/methodology/approachThe authors have portrayed the wavelet-based coherence, correlation and covariance plots to explore the interaction between EPU and markets' behavior. Then, a wavelet-based quantile on quantile regression model and wavelet-based Granger causality has been applied to examine the cause-and-effect relation and causality between the EPU and markets.FindingsThe authors’ findings report that the Indian crude oil buyers do not need to consider Indian EPU while negotiating the oil deals in the short term and medium term. However, in case of the long-term persistence of uncertainty, it becomes difficult for a buyer to negotiate oil deals at cheap rates. EPU causes unfavorable fluctuation in the stock market because macroeconomic decisions have a substantial impact on it. The authors have also found that gold is a gauge for economic imbalances and an accurate observer of inflation resulting from uncertainty, showing a safe haven attribute.Originality/valueThe authors’ work is original in two aspects. First, their study solely focused on the Indian economy to investigate the impact and causal power of Indian EPU on three major components of the Indian economy: oil, stock and gold. Second, they will provide their findings after analyzing data at a very microlevel using a wavelet-based quantile on quantile and wavelet-based Granger causality.

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Section: Methodsmentioning

confidence: 99%

Section: Methodsmentioning

confidence: 99%

Dynamic association of economic policy uncertainty with oil, stock and gold: a wavelet-based approach

Soni

Nandan²,

Chatnani³

2023

JES

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“…Some of these studies analyze the protection of the environment and the sustainable exploitation of natural resources from the perspective of different actors, examining how these aspects can benefit countries and companies. The study [1] analyzes the relationship between disaster risks and the production of renewable energy (REN) in the US, concluding that both elements are strongly related. Specifically, the authors show that disaster risk and REN interact with each other, leading to cyclical and countercyclical effects, where rare disasters greatly help to forecast REN production.…”

Section: Introductionmentioning

confidence: 99%

Nuclear Hazard and Asset Prices: Implications of Nuclear Disasters in the Cross-Sectional Behavior of Stock Returns

Alonso‐Conde

Rojo-Suárez

2020

Sustainability

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Using stock return data for the Japanese equity market, for the period from July 1983 to June 2018, we analyze the effect of major nuclear disasters worldwide on Japanese discount rates. For that purpose, we compare the performance of the capital asset pricing model (CAPM) conditional on the event of nuclear disasters with that of the classic CAPM and the Fama–French three- and five-factor models. In order to control for nuclear disasters, we use an instrument that allows us to parameterize the linear stochastic discount factor of the conditional CAPM and transform the classic CAPM into a three-factor model. In this regard, the use of nuclear disasters as an explanatory variable for the cross-sectional behavior of stock returns is a novel contribution of this research. Our results suggest that nuclear disasters account for a large fraction of the variation of stock returns, allowing the CAPM to perform similarly to the Fama–French three- and five-factor models. Furthermore, our results show that, in general, nuclear disasters are positively related to the expected returns of a large number of assets under study. Our results have important implications for the task of estimating the cost of equity and constitute a step forward in understanding the relationship between equity risk premiums and nuclear disasters.

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Nexus between natural and technical disaster shocks, resource depletion and growth-specific factors: evidence from quantile regression

et al. 2020

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Rare disaster and renewable energy in the USA: new insights from wavelet coherence and rolling-window analysis

Cited by 7 publications

References 74 publications

Dynamic association of economic policy uncertainty with oil, stock and gold: a wavelet-based approach

Dynamic association of economic policy uncertainty with oil, stock and gold: a wavelet-based approach

Nuclear Hazard and Asset Prices: Implications of Nuclear Disasters in the Cross-Sectional Behavior of Stock Returns

Nexus between natural and technical disaster shocks, resource depletion and growth-specific factors: evidence from quantile regression

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