Abstract
The information spillovers between renewable energy and electricity markets are more frequent, and there is a complex dynamic linkage. Based on the time-frequency perspective, this paper adopts the methods of Time Varying Parameter-Vector Auto Regression-Stochastic Volatility and network topology analysis to examine the dynamic linkage of various renewable energy and electricity markets. The results show that the risk spillover between renewable energy and electricity markets has time-varying asymmetric. Specifically, the spillover path of electricity, hydro, and geothermal energy markets has not changed significantly before and after major emergencies, but wind, solar energy, and green power have been affected. Additionally, the time-varying spillover effect between renewable energy and electricity markets has time-lag and periodicity. In other words, the shock of electricity to renewable energy markets lasts for one week and reaches its maximum in the current period, while the shock of renewable energy to the electricity markets exceeds ten weeks and reaches its maximum after about five weeks. Finally, the medium-term negative impact of electricity on renewable energy markets is more significant, while the short-term and medium-term negative impact of renewable energy on electricity markets is stronger, except for wind energy. These findings provide valuable insights for government regulation and investment decisions in the energy market.
Published Version
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