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Relações dinâmicas entre mercados de energias fósseis, empresas de energias renováveis e empresas de tecnologias: uma abordagem ARDL
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Abstract(s)
A produção de energia, essencial para a sociedade, tem origem, maioritariamente, nos
combustíveis fosseis, que são a principal causa de emissões de gases de efeito de estufa. As
graves consequências que estes gases provocam no planeta, como o aquecimento global,
levaram à necessidade da redução da dependência de energia fóssil, através da busca por
fontes de energia mais sustentáveis. Este cenário despertou o interesse nas energias
renováveis e, consequentemente, nas tecnologias que as suportam, e fez com que o
investimento e estudo das mesmas aumentasse nos últimos anos.
Através da aplicação do modelo Autoregressive Distributed Lag (ARDL), que permite
analisar as relações entre séries temporais a curto e longo prazo, e baseando os
procedimentos de inferência sobre as relações no teste dos limites, esta dissertação tem
como objetivo estudar as relações de cointegração entre os mercados de energias fósseis, de
energias renováveis e de tecnologias, e taxa de juro, de modo a proporcionar aos agentes de
mercado e às entidades públicas informação relevante para uma tomada de decisões mais
conscientes, como a diversificação de investimentos para redução do risco ou a
implementação de políticas, de modo a contribuir para a expansão e crescimento das fontes
de energia renovável.
Os resultados da aplicação do modelo ARDL sugerem a inexistência de relações de
cointegração de longo prazo entre, por um lado, o preço das ações de empresas de energias
renováveis e, por outro, o preço do petróleo, o preço das ações de empresas de tecnologias,
a taxa de juro e o preço das ações de empresas de tecnologias ambientais. Estes resultados
não suportam, por um lado, as teorias de um comportamento de substituição entre as
energias renováveis e o petróleo, i.e., que o aumento (diminuição) do preço do petróleo
induziria um aumento (diminuição) do preço das ações de energias renováveis e, por outro,
dada a forte interdependência entre os dois mercados, que o aumento do preço das ações de
empresas de tecnologias induziria um co-movimento positivo no preço das ações de
empresas de energias renováveis. Estes resultados sugerem que o desenvolvimento do
mercado de energias renováveis é impulsionado, em grande medida, por políticas públicas
e pela criação de ambientes políticos favoráveis ao investimento por parte dos Governos,
para promover a transição energética.
The production of energy, which is essential for society, comes mainly from fossil fuels, which are the main cause of greenhouse gas emissions. The serious consequences that these gases have on the planet, such as global warming, have led to the need to reduce dependence on fossil fuels by searching for more sustainable energy sources. This scenario has raised interest in renewable energies and, consequently, in the technologies that support them, and has led to an increase in investment and research into them in recent years. By applying the Autoregressive Distributed Lag (ARDL) model, which makes it possible to analyse the relationships between short-and long-term time series, and basing the inference procedures about the relationships on the bounds test, this dissertation aims to study the cointegration relationships between the fossil energy, renewable energy and technology markets, and interest rates, in order to provide market agents and public bodies with relevant information for making more informed decisions, such as diversifying investments to reduce risk or implementing policies to contribute to the expansion and growth of renewable energy sources. The results from the applications of the ARDL suggest that there are no long-term cointegration relationships between, on the one hand, the share price of renewable energy companies and, on the other, the price of oil, the share price of the technology companies, the interest rate and the share price of environmental technology companies. These results refute, on the one hand, theories of substitution behavior between renewable energies and oil, i.e. that increase (decrease) in the price of renewable energy shares and, on the other hand, given the strong interdependence between the two markets, that an increase (decrease) in the price of technology company shares would induce a positive co-movement in the price of renewable energy company shares. These results suggest that the development of the renewable energy market is largely driven by public policies and the creation of investment-friendly policy environments by Governments to promote the energy transition.
The production of energy, which is essential for society, comes mainly from fossil fuels, which are the main cause of greenhouse gas emissions. The serious consequences that these gases have on the planet, such as global warming, have led to the need to reduce dependence on fossil fuels by searching for more sustainable energy sources. This scenario has raised interest in renewable energies and, consequently, in the technologies that support them, and has led to an increase in investment and research into them in recent years. By applying the Autoregressive Distributed Lag (ARDL) model, which makes it possible to analyse the relationships between short-and long-term time series, and basing the inference procedures about the relationships on the bounds test, this dissertation aims to study the cointegration relationships between the fossil energy, renewable energy and technology markets, and interest rates, in order to provide market agents and public bodies with relevant information for making more informed decisions, such as diversifying investments to reduce risk or implementing policies to contribute to the expansion and growth of renewable energy sources. The results from the applications of the ARDL suggest that there are no long-term cointegration relationships between, on the one hand, the share price of renewable energy companies and, on the other, the price of oil, the share price of the technology companies, the interest rate and the share price of environmental technology companies. These results refute, on the one hand, theories of substitution behavior between renewable energies and oil, i.e. that increase (decrease) in the price of renewable energy shares and, on the other hand, given the strong interdependence between the two markets, that an increase (decrease) in the price of technology company shares would induce a positive co-movement in the price of renewable energy company shares. These results suggest that the development of the renewable energy market is largely driven by public policies and the creation of investment-friendly policy environments by Governments to promote the energy transition.
Description
Keywords
Ardl Energias Renováveis Índices Financeiros Mercado do Petróleo Tecnologia