Connectedness and co-movement between dirty energy, clean energy and global COVOL

This paper examines dynamic connectedness and co-movement between dirty energy, clean energy and the global COVOL measure of Engle and Campos-Martins (2023) between January 2015 and May 2023 based on aggregated connectedness and wavelet coherence approaches. Our results show that COVOL and dirty energy are more closely linked in times of COVID-19 and geopolitical instability, while clean energy is more isolated from geopolitical events. Moreover, the coherence between dirty and clean energy markets is weaker after 2020, consistent with a decoupling hypothesis between dirty energy and clean energy.