TY  - JOUR
T1  - The Influence of Financial Stress on Dynamic Connectedness between Fossil Energy Commodities and Green Energy Markets
TT  - Finansal Stresin Fosil Enerji Emtiaları ile Yeşil Enerji Piyasaları Arasındaki Dinamik Bağlantılılığa Etkisi
AU  - Evrim Mandacı, Pinar
AU  - Tedik Kocakaya, Birce
AU  - Çağlı, Efe Çağlar
AU  - Taşkın, Dilvin
PY  - 2025
DA  - July
Y2  - 2025
DO  - 10.30784/epfad.1614216
JF  - Ekonomi Politika ve Finans Araştırmaları Dergisi
JO  - EPF Journal
PB  - Economic and Financial Research Association
WT  - DergiPark
SN  - 2587-151X
SP  - 444
EP  - 466
VL  - 10
IS  - 2
LA  - en
AB  - This paper aims to examine the impacts of selected stress variables, such as FSI (Financial Stress Index), VIX (Volatility Index), and EPU (Economic Policy Uncertainty), on dynamic connectedness between green markets (stocks and bonds) and fossil energy commodities. First, we employ the TVP-VAR model to measure connectedness. Then, the Fourier Cumulative Granger Causality test will be used to investigate the impacts of these stress variables on this connectedness from November 1, 2012, to November 15, 2022. The results indicate moderate return connectedness between these, mainly from short-term dynamics, suggesting that diversification may be more beneficial for long-term investments. In addition, the results indicate high connectedness during the COVID-19 pandemic. The results show high connectedness among fossil energy commodities but low connectedness among green stock and green bond markets, except for water company stocks. We observe a more significant impact of water stocks on markets, followed by oil. Our causality test results indicate that the FSI and VIX impact the connectedness between these two markets, but the connectedness influences all variables. Our results provide important implications for investors and policymakers.
KW  - Financial stress
KW  - Green markets
KW  - Fossil energy
KW  - Connectedness
N2  - Bu makale, FSI (Finansal Stres Endeksi), VIX (Dalgalanma Endeksi) ve EPU (Ekonomik Politika Belirsizliği) gibi seçilmiş stres değişkenlerinin yeşil piyasalar (hisse senetleri ve tahviller) ile fosil enerji emtiaları arasındaki dinamik bağlantılılık üzerindeki etkilerini incelemeyi amaçlamaktadır. İlk olarak, bağlantılılığı ölçmek için TVP-VAR modelini kullanıyoruz. Ardından, Fourier Kümülatif Granger Nedensellik testi, bu stres değişkenlerinin bu bağlantılılık üzerindeki etkilerini 1 Kasım 2012'den 15 Kasım 2022'ye kadar araştırmak için kullanılacaktır. Sonuçlar, esas olarak kısa vadeli dinamiklerden kaynaklanan bunlar arasında orta düzeyde getiri bağlantılılığı olduğunu ve çeşitlendirmenin uzun vadeli yatırımlar için daha faydalı olabileceğini göstermektedir. Ek olarak, sonuçlar COVID-19 salgını sırasında yüksek bağlantılılık olduğunu göstermektedir. Sonuçlar, su şirketi hisseleri hariç, fosil enerji emtiaları arasında yüksek bağlantılılık, yeşil hisse senedi ve yeşil tahvil piyasaları arasında düşük bağlantılılık göstermektedir. Su hisselerinin piyasalar üzerinde daha önemli bir etkisi olduğunu, bunu petrolün izlediğini gözlemliyoruz. Nedensellik test sonuçlarımız, FSI ve VIX'in bu iki piyasa arasındaki bağlantılılığı etkilediğini, ancak bağlantılılığın tüm değişkenleri etkilediğini göstermektedir. Sonuçlarımız yatırımcılar ve politika yapıcılar için önemli çıkarımlar sağlamaktadır.
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UR  - https://doi.org/10.30784/epfad.1614216
L1  - https://dergipark.org.tr/en/download/article-file/4496543
ER  -