Causality relationships between climate policy uncertainty, renewable energy stocks, and oil prices: a mixed-frequency causality analysis
Abstract This paper investigates the predictive relationships among climate policy uncertainty (CPU), oil prices, and renewable energy (RE) stock market returns, particularly highlighting the challenges posed by the varying data frequencies of these variables. The study utilizes a comprehensive data...
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| Format: | Article |
| Language: | English |
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2024-11-01
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| Series: | Future Business Journal |
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| Online Access: | https://doi.org/10.1186/s43093-024-00399-1 |
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| author | Leila Hedhili Zaier Khaled Mokni Ahdi Noomen Ajmi |
| author_facet | Leila Hedhili Zaier Khaled Mokni Ahdi Noomen Ajmi |
| author_sort | Leila Hedhili Zaier |
| collection | DOAJ |
| description | Abstract This paper investigates the predictive relationships among climate policy uncertainty (CPU), oil prices, and renewable energy (RE) stock market returns, particularly highlighting the challenges posed by the varying data frequencies of these variables. The study utilizes a comprehensive dataset comprising monthly CPU, daily oil prices, and RE stock returns, sourced globally. By applying a mixed-frequency causality test (MFCT), the analysis reveals significant predictability across different time horizons, particularly highlighting the strong influence of oil prices on RE stock returns over short-term horizons, while CPU demonstrates a more pronounced effect over medium to long-term horizons. In contrast, the application of the classical Granger causality test on low-frequency (monthly) data indicates an insignificant relationship between CPU and RE stocks, suggesting that traditional models may overlook important predictive dynamics. The analysis was conducted using Matlab code, and the findings provide valuable insights for policymakers in designing effective climate policies and for investors in optimizing portfolio strategies and hedging against risks. |
| format | Article |
| id | doaj-art-56645764cbb143559dacd4a95f4a02fa |
| institution | Kabale University |
| issn | 2314-7202 2314-7210 |
| language | English |
| publishDate | 2024-11-01 |
| publisher | SpringerOpen |
| record_format | Article |
| series | Future Business Journal |
| spelling | doaj-art-56645764cbb143559dacd4a95f4a02fa2025-08-20T03:53:58ZengSpringerOpenFuture Business Journal2314-72022314-72102024-11-0110111110.1186/s43093-024-00399-1Causality relationships between climate policy uncertainty, renewable energy stocks, and oil prices: a mixed-frequency causality analysisLeila Hedhili Zaier0Khaled Mokni1Ahdi Noomen Ajmi2Institut Supérieur de Gestion, Université de TunisRabat Business School, Université Internationale de RabatESC de Tunis, Université de ManoubaAbstract This paper investigates the predictive relationships among climate policy uncertainty (CPU), oil prices, and renewable energy (RE) stock market returns, particularly highlighting the challenges posed by the varying data frequencies of these variables. The study utilizes a comprehensive dataset comprising monthly CPU, daily oil prices, and RE stock returns, sourced globally. By applying a mixed-frequency causality test (MFCT), the analysis reveals significant predictability across different time horizons, particularly highlighting the strong influence of oil prices on RE stock returns over short-term horizons, while CPU demonstrates a more pronounced effect over medium to long-term horizons. In contrast, the application of the classical Granger causality test on low-frequency (monthly) data indicates an insignificant relationship between CPU and RE stocks, suggesting that traditional models may overlook important predictive dynamics. The analysis was conducted using Matlab code, and the findings provide valuable insights for policymakers in designing effective climate policies and for investors in optimizing portfolio strategies and hedging against risks.https://doi.org/10.1186/s43093-024-00399-1Climate policy uncertaintyOil priceRenewable energyCausalityMixed frequency |
| spellingShingle | Leila Hedhili Zaier Khaled Mokni Ahdi Noomen Ajmi Causality relationships between climate policy uncertainty, renewable energy stocks, and oil prices: a mixed-frequency causality analysis Future Business Journal Climate policy uncertainty Oil price Renewable energy Causality Mixed frequency |
| title | Causality relationships between climate policy uncertainty, renewable energy stocks, and oil prices: a mixed-frequency causality analysis |
| title_full | Causality relationships between climate policy uncertainty, renewable energy stocks, and oil prices: a mixed-frequency causality analysis |
| title_fullStr | Causality relationships between climate policy uncertainty, renewable energy stocks, and oil prices: a mixed-frequency causality analysis |
| title_full_unstemmed | Causality relationships between climate policy uncertainty, renewable energy stocks, and oil prices: a mixed-frequency causality analysis |
| title_short | Causality relationships between climate policy uncertainty, renewable energy stocks, and oil prices: a mixed-frequency causality analysis |
| title_sort | causality relationships between climate policy uncertainty renewable energy stocks and oil prices a mixed frequency causality analysis |
| topic | Climate policy uncertainty Oil price Renewable energy Causality Mixed frequency |
| url | https://doi.org/10.1186/s43093-024-00399-1 |
| work_keys_str_mv | AT leilahedhilizaier causalityrelationshipsbetweenclimatepolicyuncertaintyrenewableenergystocksandoilpricesamixedfrequencycausalityanalysis AT khaledmokni causalityrelationshipsbetweenclimatepolicyuncertaintyrenewableenergystocksandoilpricesamixedfrequencycausalityanalysis AT ahdinoomenajmi causalityrelationshipsbetweenclimatepolicyuncertaintyrenewableenergystocksandoilpricesamixedfrequencycausalityanalysis |