使用智能运输资产对冲化石能源市场:基于量子的VAR方法的证据
Md Bokhtiar Hasan1, Md Naiem Hossain2, Hosneara Khatun3
1Department of Finance and Banking, Islamic University, Kushtia, Bangladesh.
PloS one
|May 9, 2025
概括
智能运输资产在危机期间充当安全避风港,提供对能源市场波动的保护. 然而,它们为碳和天然气市场提供了有限的对冲,将波动性传递给化石燃料.
科学领域:
- 金融 金融 金融 金融 金融
- 能源经济学 能源经济学
- 运输研究 运输研究
背景情况:
- 了解资产对冲潜力对于金融稳定至关重要,尤其是在全球危机期间.
- 智能运输资产正在成为一个独特的资产类别,具有潜在的多元化利益.
- 能源市场高度波动,需要强有力的对冲策略.
研究的目的:
- 调查智能运输资产对能源市场波动的对冲能力.
- 分析智能运输和能源资产之间的时间变化的相关性和量化溢出效应.
- 在市场压力时期评估智能运输的安全避风港属性.
主要方法:
- 使用时间变化的相关性分析.
- 使用定量溢出效应连接性措施.
- 分析数据,包括智能运输指数,能源市场和碳排放额度.
主要成果:
- 智能运输指数在COVID-19和俄罗斯-乌克兰冲突等危机期间,与股权,商品,能源和电力基础设施指数相比,表现出强大的避风港特征.
- 对于有关碳排放许可和天然气市场的智能运输,电动汽车和无人机指数,观察到有限的对冲利益和避风港属性.
- 智能运输资产被确定为所有量子的化石能源资产波动的重要传递器.
结论:
- 在某些能源市场情景中,智能运输资产可以作为有效的避风港,特别是在系统性冲击期间.
- 这些资产的对冲和避风港潜力对于碳和天然气等特定市场是有限的.
- 决策者,投资者和环保倡导者在将智能交通整合到投资和环境战略中时应该考虑这些细微的动态.
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