RT Journal Article
T1 Asymmetric effects of financial volatility and volatility-of-volatility shocks on the energy mix
A1 Guinea Voinea, Laurentiu
A1 Pérez Sánchez, Rafaela María
A1 Ruiz Andújar, Jesús
AB We examine the asymmetric effects of financial instability shocks and their volatility on the conventional and renewable energy mix. We utilize Chicago Board Options Exchange (CBOE) Volatility Index (VIX) and the Volatility-of-Volatility index (vVIX) in a nonlinear autoregressive distributed lag (NARDL) model to estimate the short- and long-term asymmetry effects across energy mix in Europe, the US, and China. Our estimations indicate that the long-term effects over the energy mix are more significant than their short-term effects. The results also show that the responses to the volatility of financial instability, vVIX, are different from the responses to financial instability itself, VIX, and revealed a more pronounced impact on changes in vVIX compared to VIX. We find that the asymmetries of energy mix responses to positive or negative shocks in VIX and vVIX have been decreasing over the periods.
PB Elsevier
YR 2024
FD 2024
LK https://hdl.handle.net/20.500.14352/103700
UL https://hdl.handle.net/20.500.14352/103700
LA eng
NO Guinea Laurentiu, Puch Luis A., Ruiz Jesús. Energy news shocks and their propagation to renewable and fossil fuels use Energy Economics, 0140-9883 (2024), p. 107289, 10.1016/j.eneco.2023.107289
NO Wethank the Spanish Ministry de Economía y Competitividad (grants TED2021-129891B-I00 and PID2022-138706NB-I00) for financial support. The authors are also grateful for the suggestions of two anonymous reviewers, who have significantly improved the article, as well as for the comments of the attendees of the XI Meeting on International Economics.
NO Spanish Ministry de Economía y Competitividad
DS Docta Complutense
RD 7 abr 2025