{"title":"新能源市场的风险溢出效应及其对冲效果:来自产业链的新证据","authors":"","doi":"10.1016/j.eap.2024.08.009","DOIUrl":null,"url":null,"abstract":"<div><p>During China’s industrial transformation, studying risk spillover effects and clarifying risk contagion pathways within the new energy industry chain is critical for promoting high-quality development in the new energy. The risk transmission mechanism of the new energy industry chain is explored by constructing a time–frequency index using a time-varying parameter vector autoregressive model in this paper. Additionally, we also further analyze the portfolio and hedging effectiveness of the new energy market. The findings reveal that, first, the downstream market serves as the primary risk source, propagating risk through the industry chain to the midstream and upstream sectors within the new energy industry chain contagion system. Second, the risk spillover effect of the new energy market has significant heterogeneity and time-varying due to the impact of short-term frequency domain drivers and extreme events. Third, the portfolio significantly reduces the investment risk of a single asset. With the extension of the investment horizon, investors’ portfolio weights in the upstream, midstream and downstream industries gradually tend to be even.</p></div>","PeriodicalId":54200,"journal":{"name":"Economic Analysis and Policy","volume":null,"pages":null},"PeriodicalIF":7.9000,"publicationDate":"2024-08-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Risk spillover effect of the new energy market and its hedging effectiveness: New evidence from industry chain\",\"authors\":\"\",\"doi\":\"10.1016/j.eap.2024.08.009\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>During China’s industrial transformation, studying risk spillover effects and clarifying risk contagion pathways within the new energy industry chain is critical for promoting high-quality development in the new energy. The risk transmission mechanism of the new energy industry chain is explored by constructing a time–frequency index using a time-varying parameter vector autoregressive model in this paper. Additionally, we also further analyze the portfolio and hedging effectiveness of the new energy market. The findings reveal that, first, the downstream market serves as the primary risk source, propagating risk through the industry chain to the midstream and upstream sectors within the new energy industry chain contagion system. Second, the risk spillover effect of the new energy market has significant heterogeneity and time-varying due to the impact of short-term frequency domain drivers and extreme events. Third, the portfolio significantly reduces the investment risk of a single asset. With the extension of the investment horizon, investors’ portfolio weights in the upstream, midstream and downstream industries gradually tend to be even.</p></div>\",\"PeriodicalId\":54200,\"journal\":{\"name\":\"Economic Analysis and Policy\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":7.9000,\"publicationDate\":\"2024-08-13\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Economic Analysis and Policy\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S031359262400198X\",\"RegionNum\":2,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Economic Analysis and Policy","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S031359262400198X","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"ECONOMICS","Score":null,"Total":0}
Risk spillover effect of the new energy market and its hedging effectiveness: New evidence from industry chain
During China’s industrial transformation, studying risk spillover effects and clarifying risk contagion pathways within the new energy industry chain is critical for promoting high-quality development in the new energy. The risk transmission mechanism of the new energy industry chain is explored by constructing a time–frequency index using a time-varying parameter vector autoregressive model in this paper. Additionally, we also further analyze the portfolio and hedging effectiveness of the new energy market. The findings reveal that, first, the downstream market serves as the primary risk source, propagating risk through the industry chain to the midstream and upstream sectors within the new energy industry chain contagion system. Second, the risk spillover effect of the new energy market has significant heterogeneity and time-varying due to the impact of short-term frequency domain drivers and extreme events. Third, the portfolio significantly reduces the investment risk of a single asset. With the extension of the investment horizon, investors’ portfolio weights in the upstream, midstream and downstream industries gradually tend to be even.
期刊介绍:
Economic Analysis and Policy (established 1970) publishes articles from all branches of economics with a particular focus on research, theoretical and applied, which has strong policy relevance. The journal also publishes survey articles and empirical replications on key policy issues. Authors are expected to highlight the main insights in a non-technical introduction and in the conclusion.