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The Official Journal of the Pan-Pacific Association of Input-Output Studies (PAPAIOS)

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Table 1 Percent contribution of shocks in the crude oil market and uncertainty to the overall variability of clean energy stock returns

From: Do the stock returns of clean energy corporations respond to oil price shocks and policy uncertainty?

Horizon Oil supply shock Oil-specific demand shock Uncertainty shock Aggregated demand shock Clean energy shocks
Panels A. Policy Uncertainty
1 0.0020 4.9049 0.0001 0.9884 94.1046
3 2.1684 7.3321 1.3698 2.3294 86.8004
12 9.4949 16.8234 12.4658 6.1415 55.0743
24 14.0741 16.8633 14.4559 8.0485 46.5581
60 14.5422 18.0255 15.0696 11.2935 41.0692
Panels B. Policy Uncertainty—News coverage
1 0.0255 3.4635 0.0288 0.9817 95.5006
3 1.2694 5.8991 0.4147 2.3163 90.1005
12 8.8844 17.6646 10.4524 5.7497 57.2490
24 13.8223 17.1484 11.3199 8.5460 49.1633
60 14.0731 17.5457 12.0978 12.9726 43.3108
Panels C. Policy Uncertainty—the federal/state/local purchases disagreement measure
1 2.0578 5.0070 2.6246 0.0461 90.2645
3 8.8775 8.9108 2.6202 5.4471 74.1443
12 10.6530 19.1127 5.6464 8.1054 56.4825
24 13.6915 18.6774 9.9386 11.0289 46.6636
60 15.7700 18.9833 11.3337 13.7039 40.2091
Panels D. Policy Uncertainty—the CPI forecast disagreement measure
1 5.8820 4.4537 0.3148 1.0939 88.2556
3 14.7085 4.9218 5.9707 8.1116 66.2873
12 17.2047 19.2427 13.5727 10.6852 39.2948
24 20.3918 18.8068 14.0385 14.1066 32.6562
60 21.9406 19.6839 13.4504 16.5778 28.3473
Panels E. Policy Uncertainty—the tax expirations index
1 0.6951 3.3805 0.0045 0.9095 95.0104
3 9.2458 6.2880 0.3777 1.6516 82.4369
12 14.0176 12.7905 2.5774 6.9051 63.7095
24 14.8854 14.662 8.6815 8.4580 53.3131
60 17.5761 15.0003 9.1604 10.7726 47.4904
  1. Percent contributions of demand and supply shocks in the crude oil market and policy uncertainty component to the overall variability of real stock returns of renewable energy stock index. The forecast error variance decomposition is based on the structural VAR model described in the text