Table 4 Hedging role of clean energy...

Table 4

Hedging role of clean energy assets

Oil market risks
Oil risks	Global		Europe		US		Asia		Solar		Wind
Oil risks	Brent	WTI	Brent	WTI	Brent	WTI	Brent	WTI	Brent	WTI	Brent	WTI
$α^{o i l}$	0.035***	0.046***	0.029***	0.022***	0.078***	0.068***	0.006	−0.009**	0.008	0.049***	0.028***	0.030***
$α^{o i l}$	(0.003)	(0.003)	(0.003)	(0.004)	(0.005)	(0.004)	(0.004)	(0.003)	(0.007)	(0.008)	(0.004)	(0.004)
$β *^{o i l}$	0.010***	0.006***	0.008***	0.010***	0.001	0.003**	0.006***	0.010***	0.020***	0.005***	0.011***	0.009***
$β *^{o i l}$	(0.002)	(0.001)	(0.001)	(0.001)	(0.001)	(0.001)	(0.001)	(0.001)	(0.002)	(0.002)	(0.001)	(0.001)
Hedging role?	Hedge	Hedge	Hedge	Hedge	No hedge	Hedge	Hedge	Hedge	Hedge	Hedge	Hedge	Hedge

Oil market risks
Oil risks	Global		Europe		US		Asia		Solar		Wind
Oil risks	Brent	WTI	Brent	WTI	Brent	WTI	Brent	WTI	Brent	WTI	Brent	WTI
$α^{o i l}$	0.035***	0.046***	0.029***	0.022***	0.078***	0.068***	0.006	−0.009**	0.008	0.049***	0.028***	0.030***
$α^{o i l}$	(0.003)	(0.003)	(0.003)	(0.004)	(0.005)	(0.004)	(0.004)	(0.003)	(0.007)	(0.008)	(0.004)	(0.004)
$β *^{o i l}$	0.010***	0.006***	0.008***	0.010***	0.001	0.003**	0.006***	0.010***	0.020***	0.005***	0.011***	0.009***
$β *^{o i l}$	(0.002)	(0.001)	(0.001)	(0.001)	(0.001)	(0.001)	(0.001)	(0.001)	(0.002)	(0.002)	(0.001)	(0.001)
Hedging role?	Hedge	Hedge	Hedge	Hedge	No hedge	Hedge	Hedge	Hedge	Hedge	Hedge	Hedge	Hedge

Climate risks
Climate risks	Global		Europe		US		Asia		Solar		Wind
Climate risks	EER	CPU	EER	CPU	EER	CPU	EER	CPU	EER	CPU	EER	CPU
$α^{c l m}$	2.035***	0.363	2.955***	0.5820**	3.178***	−0.22***	3.001***	−1.34***	5.589***	−1.01***	2.142***	−0.490
$α^{c l m}$	(0.066)	(0.493)	(0.185)	(0.285)	(0.311)	(0.052)	(0.286)	(0.182)	(0.379)	(0.201)	(0.227)	(1.098)
$β *^{c l m}$	−2.04***	0.001	−6.02***	0.006***	−4.89***	0.013***	−7.21***	0.015***	−7.06***	0.017***	−5.24***	0.008
$β *^{c l m}$	(0.595)	(0.002)	(0.711)	(0.001)	(0.797)	(0.0003)	(0.920)	(0.001)	(1.439)	(0.001)	(0.892)	(0.005)
Hedging role?	No hedge	No hedge	No hedge	Hedge	No hedge	Hedge	No hedge	Hedge	No hedge	Hedge	No hedge	No hedge

Climate risks
Climate risks	Global		Europe		US		Asia		Solar		Wind
Climate risks	EER	CPU	EER	CPU	EER	CPU	EER	CPU	EER	CPU	EER	CPU
$α^{c l m}$	2.035***	0.363	2.955***	0.5820**	3.178***	−0.22***	3.001***	−1.34***	5.589***	−1.01***	2.142***	−0.490
$α^{c l m}$	(0.066)	(0.493)	(0.185)	(0.285)	(0.311)	(0.052)	(0.286)	(0.182)	(0.379)	(0.201)	(0.227)	(1.098)
$β *^{c l m}$	−2.04***	0.001	−6.02***	0.006***	−4.89***	0.013***	−7.21***	0.015***	−7.06***	0.017***	−5.24***	0.008
$β *^{c l m}$	(0.595)	(0.002)	(0.711)	(0.001)	(0.797)	(0.0003)	(0.920)	(0.001)	(1.439)	(0.001)	(0.892)	(0.005)
Hedging role?	No hedge	No hedge	No hedge	Hedge	No hedge	Hedge	No hedge	Hedge	No hedge	Hedge	No hedge	No hedge

Note(s): This table presents the predictability results that indicate the hedging effectiveness of disaggregated clean energy assets against oil and climate risks. $α^{o i l}$ and $β *^{o i l}$ are the constant and Beta-adjusted coefficient of the models with oil market risk series (realized volatility of WTI and Brent prices) as the predictors. $α^{c l m}$ and $β *^{c l m}$ are the constant and Beta-adjusted coefficient of the models where the two climate risk series (CPU and EER) are the regressors. The hedging role is informed by the Beta-adjusted coefficients. $β * \leq 0$ indicates ‘no hedge’ and $β * > 0$ indicates ‘hedge’. “**” and “***” indicates statistical significance at the 5% and 1% significance levels

Source(s): Table by authors

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