国际石油与中国新能源产业链的关联性:基于 TVP-VAR 模型的时频分析

IF 13.6 2区 经济学 Q1 ECONOMICS Energy Economics Pub Date : 2024-10-12 DOI:10.1016/j.eneco.2024.107954
Xiang Deng, Fang Xu
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引用次数: 0

摘要

随着全球环境问题的日益突出,石油和新能源产业之间的相互影响变得越来越重要。我们采用基于 TVP-VAR 模型的关联性方法,探讨了石油与新能源产业链中各行业之间在时域和频域上的动态关联性。实证结果显示,总关联度约为 70%,主要表现为新能源产业内的产业间关联,总关联度主要出现在短期内,对极端事件非常敏感。此外,石油和风电行业一直扮演着风险净接受者的角色。相反,光伏、储能和新能源电池行业一直是净风险传播者。水电、核电和新能源汽车行业在风险传播中的作用随频率成分的不同而变化。第三,我们确定了六对表现出显著双向溢出效应的产业组合。最后,经过两次稳健性检验,上述结论依然有效。这些研究成果为政策制定者和投资者提供了宝贵的启示。
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Connectedness between international oil and China's new energy industry chain: A time-frequency analysis based on TVP-VAR model
With the growing prominence of global environmental concerns, the interplay between the oil and new energy industries has become increasingly vital. We employ a connectedness approach based on the TVP-VAR model to explore the dynamic connectedness in both time and frequency domains between the oil and various industries within the new energy industry chains. Empirical findings reveal total connectedness of approximately 70 %, primarily manifested as inter-industry associations within the new energy industry and total connectedness predominantly emerges in short term and is sensitive to extreme events. Additionally, the oil and wind power industries have consistently played roles as net recipients of risk. Conversely, the photovoltaic, energy storage, and new energy battery industries have consistently acted as net risk propagators. The roles of the hydroelectric, nuclear power, and new energy vehicle sectors in risk propagation vary with different frequency components. Thirdly, we identify six pairs of industry combinations exhibiting significant two-way spillover effects. Finally, after two robustness tests, the above conclusions remain valid. These research findings offer valuable insights for policymakers and investors.
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来源期刊
Energy Economics
Energy Economics ECONOMICS-
CiteScore
18.60
自引率
12.50%
发文量
524
期刊介绍: Energy Economics is a field journal that focuses on energy economics and energy finance. It covers various themes including the exploitation, conversion, and use of energy, markets for energy commodities and derivatives, regulation and taxation, forecasting, environment and climate, international trade, development, and monetary policy. The journal welcomes contributions that utilize diverse methods such as experiments, surveys, econometrics, decomposition, simulation models, equilibrium models, optimization models, and analytical models. It publishes a combination of papers employing different methods to explore a wide range of topics. The journal's replication policy encourages the submission of replication studies, wherein researchers reproduce and extend the key results of original studies while explaining any differences. Energy Economics is indexed and abstracted in several databases including Environmental Abstracts, Fuel and Energy Abstracts, Social Sciences Citation Index, GEOBASE, Social & Behavioral Sciences, Journal of Economic Literature, INSPEC, and more.
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