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Desempenho do sector de energias renováveis e o sector de tecnologias, o preço do petróleo e taxas de juro: Uma abordagem de Cointegração ARDL utilizando o teste dos Limites
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Advisor(s)
Abstract(s)
Uma economia encontra-se dependente da utilização de energia para o seu normal
funcionamento. As energias fósseis ainda representam a maior percentagem da
utilização de energia, sendo que surge a necessidade de mudança do panorama
energético para fontes de energia renovável.
Compreender como o mercado do petróleo bruto, o mercado das tecnologias e as taxas
de juro impactam o mercado de fontes de energias renováveis, apresenta uma
importância crescente para investidores e para os decisores políticos, uma vez que
contribui para a formulação de políticas públicas, a realização de melhores
investimentos, melhores utilizações de recursos, orientados para um cenário energético
menos dependente de combustíveis fósseis.
Para explorar estas relações o presente trabalho utiliza o modelo ARDL, baseado no teste
de Limites de Kripfganz e Schneider (2023), para examinar a existência de relações de
longo prazo, i.e., relações de cointegração, e identificar as variáveis que determinam a
evolução a longo prazo do desempenho das empresas do sector de energia renovável. As
variáveis utilizadas no modelo para explicar o comportamento a longo prazo do setor de
energia renovável são: preço do petróleo, índice acionista de empresas do sector
tecnológico e taxa de juro. O modelo ARDL é estimado na forma de correção do erro e os
procedimentos de inferência à cointegração baseiam-se no teste dos Limites. Além da
análise aos efeitos de longo-prazo, a estimação do modelo em forma de correção de erro
permitiu analisar os efeitos a curto prazo do mercado do petróleo bruto, do mercado das
tecnologias e as taxas de juro sobre o mercado de fontes de energias renováveis.
Os resultados sugerem que a evolução do desempenho a longo prazo do sector das
energias renováveis não é determinada pela evolução do preço do petróleo, pelo
desempenho das empresas do sector tecnológico e pela evolução da taxa de juro,
traduzindo-se na inexistência de cointegração entre as variáveis em estudo. Em termos
de efeitos de curto prazo, e sendo estes expectáveis, verifica-se que os preços das ações
de empresas de energias renováveis são afetados pelo preço do petróleo, pelo preço das
ações de empresas de tecnologias e pela taxa de juro.
An economy is dependent on the use of energy for its normal functioning. Fossil fuels still account for the largest percentage of energy use, and there is a need to shift the energy landscape towards renewable energy sources. Understanding how the crude oil market, the technology market and interest rates impact the market for renewable energy sources is of growing importance to investors and policymakers, as it contributes to the formulation of public policies, better investments and better use of resources, geared towards an energy scenario that is less dependent on fossil fuels. To explore these relationships, this paper uses the ARDL model, based on the Kripfganz and Schneider (2023) Bounds test, to examine the existence of long-term relationships, i.e. cointegration relationships, and to identify the variables that determine the longterm evolution of the performance of companies in the renewable energy sector. The variables used in the model to explain the long-term behaviour of the renewable energy sector are: oil price, shareholder index of companies in the technology sector and interest rate. The ARDL model is estimated in error-correction form and the inference procedures for cointegration are based on the Bounds test. The long-term effects of the variables and their application in error-correction form made it possible to analyse the short-term effects of the crude oil market, the technology market and interest rates on the market for renewable energy sources. The results suggest that the evolution of the long-term performance of the renewable energy sector is not determined by the evolution of the price of oil, the performance of companies in the technology sector and the evolution of the interest rate, which means that there is no cointegration between the variables under study. In terms of short-term effects, which are to be expected, it can be seen that the share prices of renewable energy companies are affected by the price of oil, the share price of technology companies and the interest rate.
An economy is dependent on the use of energy for its normal functioning. Fossil fuels still account for the largest percentage of energy use, and there is a need to shift the energy landscape towards renewable energy sources. Understanding how the crude oil market, the technology market and interest rates impact the market for renewable energy sources is of growing importance to investors and policymakers, as it contributes to the formulation of public policies, better investments and better use of resources, geared towards an energy scenario that is less dependent on fossil fuels. To explore these relationships, this paper uses the ARDL model, based on the Kripfganz and Schneider (2023) Bounds test, to examine the existence of long-term relationships, i.e. cointegration relationships, and to identify the variables that determine the longterm evolution of the performance of companies in the renewable energy sector. The variables used in the model to explain the long-term behaviour of the renewable energy sector are: oil price, shareholder index of companies in the technology sector and interest rate. The ARDL model is estimated in error-correction form and the inference procedures for cointegration are based on the Bounds test. The long-term effects of the variables and their application in error-correction form made it possible to analyse the short-term effects of the crude oil market, the technology market and interest rates on the market for renewable energy sources. The results suggest that the evolution of the long-term performance of the renewable energy sector is not determined by the evolution of the price of oil, the performance of companies in the technology sector and the evolution of the interest rate, which means that there is no cointegration between the variables under study. In terms of short-term effects, which are to be expected, it can be seen that the share prices of renewable energy companies are affected by the price of oil, the share price of technology companies and the interest rate.
Description
Keywords
Cointegração Ardl Mercado de Energias Renováveis Mercado de Tecnologias Mercado do Petróleo Teste de Limites