Unraveling the time-varying asymmetric impact of fossil fuel price volatility on high cleantech investments

ÖZKAN O., Adebayo T. S.

ENVIRONMENT DEVELOPMENT AND SUSTAINABILITY, 2024 (SCI-Expanded) identifier identifier

  • Publication Type: Article / Article
  • Publication Date: 2024
  • Doi Number: 10.1007/s10668-024-05432-5
  • Journal Name: ENVIRONMENT DEVELOPMENT AND SUSTAINABILITY
  • Journal Indexes: Science Citation Index Expanded (SCI-EXPANDED), Scopus, International Bibliography of Social Sciences, PASCAL, ABI/INFORM, Agricultural & Environmental Science Database, Aquatic Science & Fisheries Abstracts (ASFA), BIOSIS, Business Source Elite, Business Source Premier, CAB Abstracts, Geobase, Greenfile, Index Islamicus, Pollution Abstracts, Veterinary Science Database, Civil Engineering Abstracts
  • Azerbaijan State University of Economics (UNEC) Affiliated: No

Abstract

The primary objective of this study is to elucidate the asymmetric effects of fluctuations in fossil fuel prices on high cleantech investments across various time horizons. To investigate the causal relationships between these variables, we employ an innovative approach known as the Time-Varying Nonparametric Causality in Quantiles. This approach enables us to ascertain causality not only in terms of the mean but also in terms of variance. Additionally, we introduce the Time-Varying Quantile Regression method to evaluate whether the observed impact exhibits asymmetry and to determine its positive or negative direction. Our empirical estimations based on the daily data ranging from August 30, 2013, to September 15th, 2023, reveal that the fossil fuel price volatility has a positive and causal impact on high cleantech investments and its impact varies across quantiles indicating asymmetry and with time implying time-varying (or dynamic). These results are found to be robust across different analytical scenarios. Based on these results, policymakers should consider implementing targeted measures to mitigate the effects of fossil fuel price volatility on cleantech investments, taking into account the asymmetry and time-varying aspects revealed by our analysis.