Ethnic discrimination during the Covid-19 pandemic - Ratio

Ethnic discrimination during the Covid-19 pandemic - Ratio

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Article (with peer review)

Interconnectedness and risk profile of hydrogen against major asset classes

Lucey, B., Yahya, M., Khoja, L., Uddin, G. S., & Ahmed, A.

Publication year

2024

Published in

Renewable and Sustainable Energy Reviews

Abstract

This study examines the interconnectedness and risk profile of hydrogen in comparison to other assets from December 2019 to April 2022, using a time-varying copula approach. The findings reveal that hydrogen’s relationships with conventional commodities and markets can shift significantly during extreme uncertainty. The COVID-19 pandemic had a marked impact on hydrogen’s market connections. However, hydrogen did not uniformly increase linkages, highlighting its distinct profile even as an energy commodity. Despite its sensitivity to crises, hydrogen’s reactions were varied, emphasizing the necessity for customized interpretations. Calculation of value-at-risk, conditional value-at-risk and Delta CoVaR demonstrated that green bonds exhibited the lowest investment risks across frequencies, which can be attributed to factors such as government support and growing demand. In the case of hydrogen, the risk metrics were inconsistent, reflecting its status as an early-stage adoption asset with niche applications in transportation and industry. These findings have key implications for managing risk associated with energy transition and for facilitating the adoption of hydrogen. The empirical insights provided herein can aid policymakers in developing supportive regulations and incentives to expedite the scaling of hydrogen. Moreover, Investors can leverage hydrogen’s risk quantification for portfolio optimization and hedging strategies. Overall, by elucidating hydrogen’s unique dynamics, this study informs stakeholder decisions to facilitate the hydrogen economy.

Climate risk and sustainable investing

Dutta, A., Bhuiyan, M. R. U., Ahmed, A., & Uddin, G. S.

Publication year

2023

Published in

In Phoumin, H., Taghizadeh-Hesary, F., & Kimura, F. (Eds.). Green Finance and Renewable Energy in ASEAN and East Asia. Economic Research Institute for ASEAN and East Asia.

Abstract

While numerous empirical papers have investigated the volatility dynamics of Chinese clean energy equity markets, this is among the first studies to assess the impact of climate uncertainty on the risk levels of such assets. Given that China is extensively investing in green projects to achieve carbon neutrality, this strand of research offers important implications for investors and policymakers. Methodologically, we employ the GARCH-MIDAS model to examine the effect of the climate policy uncertainty (CPU) index on the volatility levels of the Chinese clean energy exchange-traded fund (ETF). We compare the effects of the CPU index with leading uncertainty indicators, including the crude oil volatility index, geopolitical risk, and technology sector volatility. The in-sample and out-of-sample analyses show that CPU has significant predictive contents for forecasting the volatility of renewable energy ETF and that the GARCH-MIDAS-CPU process outperforms other approaches. These results offer key implications for policymakers and socially responsible investors.