Tail risk connectedness in clean energy and oil financial market
研究了2011年1月至2021年10月间清洁能源与石油企业之间的尾部风险溢出效应，发现油价不确定性对石油公司风险动态起关键作用，且能源企业风险关联以行业内为主，对风险管理和政策制定有参考价值。
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.