Mahadeo, SMR, Heinlein, R and Legrenzi, GD (2019) Energy contagion analysis: a new perspective with application to a small petroleum economy. Energy Economics, 80. pp. 890-903.

[img] Text
Mahadeo Heinlein Legrenzi 2019.pdf - Accepted Version
Restricted to Repository staff only until 16 August 2020.
Available under License Creative Commons Attribution Non-commercial No Derivatives.

Download (251kB)

Abstract

We put forward the novel concept of energy contagion, i.e. a deepening of energy-finance linkages under crisis conditions in energy markets. Further, we show how to construct tests for energy contagion through correlation, co-skewness, and co-volatility channels. The samples of our contagion measures are defined in terms of calm and crisis periods in the international crude oil market. In particular, we compare how these various co-moments in the energy-finance nexus change during: (1) Oil booms and slumps using semi-parametric rule-based algorithms; (2) Tranquil and turbulent oil price volatility episodes using a non-hierarchical k-means clustering algorithm. Energy contagion analysis is essential to financial stability analysis in economies where prosperity is linked to the prices of hard commodities. Our applications are performed on the oil-exchange rate and oil-stock market relationships of the small petroleum economy of Trinidad and Tobago. The main results show a negative oil-real effective exchange rate dependency; a weak oil-stock returns association; and the existence of several energy contagion channels in both financial relationships, which are sensitive to the contemporary global financial crash.

Item Type: Article
Additional Information: This is the accepted author manuscript (AAM). The final published version (version of record) will be available online via Elsevier at https://www.sciencedirect.com/journal/energy-economics - please refer to any applicable terms of use of the publisher.
Uncontrolled Keywords: economics, energy markets, energy contagion, contagion; correlation, exchange rate, oil price, stock market, Trinidad and Tobago
Subjects: H Social Sciences > HB Economic Theory
H Social Sciences > HC Economic History and Conditions
Divisions: Faculty of Humanities and Social Sciences > Keele Management School
Depositing User: Symplectic
Date Deposited: 20 Feb 2019 13:48
Last Modified: 28 Mar 2019 16:14
URI: http://eprints.keele.ac.uk/id/eprint/5880

Actions (login required)

View Item View Item