Measuring multi-scale risk contagion between crude oil, clean energy, and stock market: A MODWT-Vine-copula method

IF 6.9 2区经济学 Q1 BUSINESS, FINANCE Research in International Business and Finance Pub Date : 2025-03-01 Epub Date: 2025-01-28 DOI:10.1016/j.ribaf.2025.102790

Yaling Chen , Huiming Zhu , Yinpeng Liu

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Abstract

This paper combines the MODWT method with the vine-copula model to explore the dependence and contagion of extreme risk between WTI crude oil, clean energy, and US stock market. The results indicate that in the original return, the impact of US stocks reinforces the dependence between WTI crude oil and clean energy. After removing the risk effect of covariates, the risk contagion from WTI crude oil to clean energy and US stocks is smaller than their extreme risk contagion to WTI crude oil. Furthermore, different investment time scales have different risk contagion profiles. For example, the contagion of risk between WTI crude oil, clean energy and the US stock market is significantly tighter on the medium-run time scale, while on the short-run time scale, there is no significant risk contagion from WTI crude oil to either clean energy or US stocks. Finally, asymmetric effects are very common on the downside and upside risk-contagious surface, with WTI crude oil being more vulnerable to risk contagion from US stocks than clean energy.

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衡量原油、清洁能源和股票市场之间的多尺度风险传染：MODWT-Vine-copula方法

本文将MODWT方法与vine-copula模型相结合，探讨了WTI原油、清洁能源与美国股市之间极端风险的依赖和传染。结果表明，在原始收益中，美股的影响强化了WTI原油对清洁能源的依赖。在去除协变量的风险效应后，WTI原油对清洁能源和美股的风险传染小于其对WTI原油的极端风险传染。此外，不同的投资时间尺度具有不同的风险传染特征。例如，在中期时间尺度上，WTI原油、清洁能源和美股市场之间的风险传染明显趋紧，而在短期时间尺度上，WTI原油对清洁能源和美股的风险传染均不明显。最后，不对称效应在下行和上行风险传染面非常普遍，WTI原油比清洁能源更容易受到美国股市风险传染的影响。

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来源期刊

Research in International Business and Finance BUSINESS, FINANCE-

CiteScore

11.20

自引率

9.20%

发文量

240

期刊介绍： Research in International Business and Finance (RIBAF) seeks to consolidate its position as a premier scholarly vehicle of academic finance. The Journal publishes high quality, insightful, well-written papers that explore current and new issues in international finance. Papers that foster dialogue, innovation, and intellectual risk-taking in financial studies; as well as shed light on the interaction between finance and broader societal concerns are particularly appreciated. The Journal welcomes submissions that seek to expand the boundaries of academic finance and otherwise challenge the discipline. Papers studying finance using a variety of methodologies; as well as interdisciplinary studies will be considered for publication. Papers that examine topical issues using extensive international data sets are welcome. Single-country studies can also be considered for publication provided that they develop novel methodological and theoretical approaches or fall within the Journal''s priority themes. It is especially important that single-country studies communicate to the reader why the particular chosen country is especially relevant to the issue being investigated. [...] The scope of topics that are most interesting to RIBAF readers include the following: -Financial markets and institutions -Financial practices and sustainability -The impact of national culture on finance -The impact of formal and informal institutions on finance -Privatizations, public financing, and nonprofit issues in finance -Interdisciplinary financial studies -Finance and international development -International financial crises and regulation -Financialization studies -International financial integration and architecture -Behavioral aspects in finance -Consumer finance -Methodologies and conceptualization issues related to finance