Foglia Matteo, Angelini Eliana, Huynh Toan Luu Duc
Department of Economics, Management and Business Law, "Aldo Moro" University of Bari, Bari, Italy.
Department of Economics, "G.d'Annunzio" University of Pescara, Viale Pindaro 42, 65127 Pescara, PE Italy.
Ann Oper Res. 2022 May 15:1-25. doi: 10.1007/s10479-022-04745-w.
This research investigates the connectedness and the tail risk spillover between clean energy and oil firms, from January 2011 to October 2021. To this, we use the Tail-Event driven NETworks (TENET) risk model. This approach allows for a measurement of the dynamics of tail-risk spillover for each sector and firm. Hence, we can provide a detailed picture of the existing extreme relationships within these markets. We find that the total connection between the markets varies during the period analysed, showing how the uncertainty in oil price plays a critical role in the risk dynamics for oil companies. Also, we find that relationships between energy firms tend to be intrasectoral; that is, each sector receives (emits) risk from (to) itself. These results can have important practical implications for risk management and policymakers.
本研究考察了2011年1月至2021年10月期间清洁能源公司与石油公司之间的关联性及尾部风险溢出效应。为此，我们使用了尾部事件驱动网络（TENET）风险模型。这种方法能够衡量每个行业和公司的尾部风险溢出动态。因此，我们可以详细描绘出这些市场中现有的极端关系。我们发现，在分析期内，市场之间的总体关联有所变化，这表明油价的不确定性在石油公司的风险动态中起着关键作用。此外，我们还发现能源公司之间的关系往往存在于行业内部；也就是说，每个行业从自身接收（向自身释放）风险。这些结果对风险管理和政策制定者可能具有重要的实际意义。
