Quantile causality and dependence between renewable energy consumption, WTI prices, and CO₂ emissions: new evidence...

This study investigates the Granger causal interplays between renewable energy consumption, WTI crude oil prices, and CO₂ emissions in the USA using monthly data between January 1986 and May 2022. The study applies quantile-based techniques, namely, the quantile unit root test developed by Galvao (2009), the quantile cointegration test proposed by Xiao (2009), and the novel Granger causality-in-quantiles test suggested by Troster (2018). The results suggest that the series display a unit root across different quantiles and that the cointegration relationships exhibit heterogeneous behavior across quantiles. Regarding the causal linkages, the findings show: (i) a unidirectional causality from renewable energy consumption to oil prices, mainly at the lowest or highest quantiles of the distribution, (ii) a bidirectional causality between oil prices and CO₂ emissions mainly in the middle and extreme quantiles, but there is evidence of causality from oil prices to CO₂ emissions across the quantiles than in the reverse direction, and (iii) a unidirectional causality from renewable energy consumption to CO₂ emissions at the lowest to medium and the highest quantiles. These findings have important implications for policy-makers.