Asymmetric impact of energy and non-energy agricultural commodity prices on the clean energy market

Abstract

This study investigates agricultural commodity prices' asymmetric short and long-run impact on the clean energy prices index. To explore whether energy and non-energy agricultural commodities impact the clean energy prices index similarly or differently. Agricultural commodities are categorized into two main groups. The NARDL method was applied to estimate asymmetric long-run and short-run analysis on a daily data set from 3rd March 2005 to 12th December 2021. The main results showed that agriculture commodities had a positive impact on the clean energy price index. All agricultural commodity prices showed a positive impact except rice, with an inverse impact of the previous day's prices and no impact for the same day and oil also showed an inverse impact on the first lag, and the other lags were impacting positively. In the long run, both groups’ commodity prices directly impacted the clean energy prices index. Further, the impact of rice prices was asymmetrical on its second lag of negative partial sums. The impact of oil prices was also observed as asymmetric. The findings of this study are important for the investors of clean energy markets, managers, policymakers, and regulatory bodies.