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

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