Browsing by Author "Kocakaya, Birce Tedik"

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Citation - WoS: 11
Citation - Scopus: 10
Quantile-on-quantile connectedness of uncertainty with fossil and green energy markets
(Elsevier Ltd, 2025) Pinar Evrim-Mandaci; Efe Caglar Cagli; Dilvin Taşkın; Birce Tedik Kocakaya; Taskin, Dilvin; Kocakaya, Birce Tedik; Tedik Kocakaya, Birce; Mandaci, Pinar Evrim; Cagli, Efe C.; Evrim Mandaci, Pınar
This study explores links between uncertainty metrics and fossil and green energy sectors applying an innovative quantile-on-quantile connectedness method to analyze spillovers across quantiles from August 2004 to December 2023. Our sample comprises the clean and fossil energy market indices and key uncertainty measures including climate economic geopolitical and infectious diseases uncertainty indices. All total connectedness indices were found to peak at extremely reversely related quantiles except for climate policy uncertainty. The strongest connectedness is between high economic policy uncertainty and low clean energy returns. The economic policy uncertainty index was dynamically reversely related to energy markets in all quantiles. However after 2016 the connectedness between climate policy uncertainty and energy market indices converted to positive possibly due to the impact of the Paris Agreement. Compared to climate-related uncertainty geopolitical and economic uncertainties have a notably more substantial influence on energy markets particularly in the green energy sector. Other findings reveal that energy market performance significantly influences climate policy uncertainty and that infectious disease uncertainty is transmitted across various quantiles. Given the findings we propose policy implications for investors and policymakers emphasizing the critical need for considering different quantiles in measuring the dynamic connectedness between various uncertainties and energy markets. © 2025 Elsevier B.V. All rights reserved.
THE INFLUENCE OF FINANCIAL STRESS ON DYNAMIC CONNECTEDNESS BETWEEN FOSSIL ENERGY COMMODITIES AND GREEN ENERGY MARKETS
(Economic and Financial Research Assoc - EFAD, 2025) Pinar Evrim Mandaci; Birce Tedik Kocakaya; Efe Caglar Cagli; Dilvin Taskin; Taskin, Dilvin; Kocakaya, Birce Tedik; Mandaci, Pinar Evrim; Cagli, Efe Caglar
This paper aims to examine the impacts of selected stress variables such as FSI (Financial Stress Index) VIX (Volatility Index) and EPU (Economic Policy Uncertainty) on dynamic connectedness between green markets (stocks and bonds) and fossil energy commodities. We employ the TVP-VAR model to measure connectedness and the Fourier Cumulative Granger Causality test to investigate the impacts of these stress variables on this connectedness from November 1 2012 to November 15 2022. The results indicate moderate return connectedness mainly from short-term dynamics suggesting that diversification may be more beneficial for long-term investments. We observe high connectedness during the COVID-19 pandemic. The connectedness is high among fossil energy commodities but low among green stock and bond markets except for water company stocks. Water stocks have a significant impact on markets followed by oil. Our causality test results indicate that the FSI and VIX impact the connectedness between them.