This paper investigates the extreme co-movements between three types of decomposed oil price shocks, e.g., supply shock, demand shock, and risk shock, and sustainable investments, using the generalized extreme value - autoregressive conditional Fréchet - tail quotient correlation coefficient (GEV-AcF-TQCC) analytical framework. The empirical results have identified that there are regular extreme co-movements between the three types of oil shocks and sustainable investments under extreme market conditions, especially, during the 2014–2016 oil crisis, the COVID-19 pandemic and the event of negative oil prices in 2020, according to the dynamic tail quotient correlation coefficient (TQCC) method. Specifically, the upside and downside trends of supply shocks, the downside trend of demand shocks, and the upside trend of risk shocks act as transmitters of the tail risks between oil prices and sustainable investments. The results also have demonstrated that the tail risk indexes for both the upside and downside trends of decomposed oil price shocks and sustainable investments have time-varying and asymmetric characteristics. Additionally, the static TQCC results have validated that among the three types of oil shocks, demand shocks exhibit the most pronounced tail risk spillover effects on sustainable investments, followed by supply and risk shocks, whose tail risk spillovers are close to each other. A series of alternative analyses ensure the robustness of the findings presented in this paper, which can offer valuable guidance and insights to policymakers and financial investors.

中文翻译：

---

分解石油价格冲击与可持续投资之间的极端联动

本文利用广义极值-自回归条件Fréchet-尾商相关系数(GEV- AcF-TQCC）分析框架。实证结果表明，在极端市场条件下，特别是在2014-2016年石油危机、COVID-19大流行和负油价事件期间，三类石油冲击与可持续投资之间经常存在极端联动。 2020年，按照动态尾商相关系数（TQCC）法。具体而言，供给冲击的上行趋势和下行趋势、需求冲击的下行趋势和风险冲击的上行趋势是油价与可持续投资之间尾部风险的传导者。研究结果还表明，分解石油价格冲击和可持续投资的上行和下行趋势的尾部风险指数都具有时变和不对称的特征。此外，静态TQCC结果验证了三种类型的石油冲击中，需求冲击对可持续投资的尾部风险溢出效应最为显着，其次是供给冲击和风险溢出，其尾部风险溢出效应接近。一系列替代分析确保了本文研究结果的稳健性，可以为政策制定者和金融投资者提供宝贵的指导和见解。