基地研究员任晓航副教授合作论文“The contagion of extreme risks between fossil and green energy markets: evidence from China”在重要学术期刊Quantitative Finance发表。

摘要：This paper combines the Generalized Autoregressive Conditional Heteroskedasticity-Extreme Value Theory-Value at Risk (GARCH-EVT-VaR) method in conjunction with the Time-Varying Parameter Diebold-Yilmaz (TVP-VAR-DY) model to investigate the contagion of extreme risks between fossil and green energy markets in China. Specifically, the study concentrates on coal, crude oil, and natural gas markets as representative sectors for fossil energy, while green bonds, investments, green power, and associated new energy markets are chosen as representatives for the green energy sector. Our analysis reveals that extreme events can rapidly propagate risks between fossil and green energy markets, particularly during significant shifts in the external environment. Notably, green energy markets exhibit greater susceptibility to severe risks compared to their fossil energy counterparts, indicative of their instability and immaturity. Moreover, the analysis highlights the green bond market's heightened sensitivity to extreme risks, with green investments playing a pivotal role in propagating such risks throughout the system. These insights underscore the intricate dynamics of risk contagion between fossil and green energy markets, emphasizing the need for comprehensive risk management strategies in both sectors.

关键词：Fossil energy markets；Green energy markets；Extreme risks；Risk spillovers

论文链接：https://doi.org/10.1080/14697688.2024.2339374

教师简介

任晓航，中南大学商学院特聘副教授，Elsevier中国高被引学者，全球前2%顶尖科学家，主要从事能源金融、金融风险、金融计量等方面的研究，在Journal of the American Statistical Association、Transportation Research Part A、Energy Economics、Quantitative Finance、Review of Quantitative Finance and Accounting、International Review of Financial Analysis、Technological Forecasting and Social Change、Business Strategy and the Environment、Pacific-Basin Finance Journal、Applied Energy、Resources Policy、Renewable & Sustainable Energy Review、Energy、管理科学学报（英文版）、系统工程理论与实践、中国管理科学等国内外权威期刊上发表论文一百余篇，其中ESI热点文章/高被引论文三十余篇。担任Sustainable Communities(Taylor & Francis)领域主编，Humanities & Social Sciences Communications（Nature旗下唯一面向人文社会科学的子刊）等期刊副主编，Climate Change Economics, Economic Change and Restructuring等SSCI期刊客座主编。