Dilemma of oil price and green energy price in the lens of green innovation: Contextual evidence from 2008 financial crisis, shale oil crisis and COVID-19

In this study, we conduct a wavelet-based analysis of the dependence between renewable energy indices and the Brent oil index from 21 November 2003 to 24 May 2024. The primary objective is to examine how the co-movement between renewable energy and oil stock prices evolves across three major crises: the global financial crisis, the shale oil crisis, and the COVID-19 pandemic. The results show that, in pre-crisis periods, renewable energy prices lead oil prices in the short and medium term, indicating a stable, positive relationship consistent with substitutability between the two markets. However, following major crises, these relationships weaken or reverse, with a distinct negative correlation emerging during the COVID-19 period. VARMA-based impulse response analysis further confirms that pre-crisis oil price shocks generate strong responses in renewable energy indices, whereas post-crisis dynamics become more muted and less persistent. These findings suggest that the relationship between fossil fuel and renewable energy markets is highly regime-dependent and sensitive to structural disruptions. From a policy perspective, the results highlight the importance of diversifying energy portfolios, strengthening support for renewable energy development, and designing policies that reduce exposure to oil price volatility. More specifically, the observed decoupling during the COVID-19 period suggests that renewable energy markets may increasingly serve as a hedge against fossil-fuel risks, supporting long-term strategies to achieve energy security and net-zero emissions.