This study explores the interdependence between timber, water, and energy markets and investigates the potential domino effect of extreme risk across these markets. Specifically, using CAViaR-TVP-VAR, we examine the role of water and timber investments as safe-havens and hedges for traditional energy markets, before and after the COVID-19 pandemic. Our results indicate that water and timber markets can serve as reliable safe-haven options for energy investors. Moreover, our findings suggest a weak link between natural gas and its counterparts, underscoring the need for energy portfolios to diversify. This study provides valuable insights for investors seeking to navigate extreme risk.

本研究探讨了木材、水和能源市场之间的相互依存关系，并调查了这些市场中极端风险的潜在多米诺骨牌效应。具体来说，我们使用 CAViaR-TVP-VAR 研究了 COVID-19 大流行前后水和木材投资作为传统能源市场避风港和对冲的作用。我们的结果表明，水和木材市场可以作为能源投资者可靠的避风港选择。此外，我们的研究结果表明天然气与其对应物之间的联系薄弱，强调了能源组合多样化的必要性。这项研究为寻求应对极端风险的投资者提供了宝贵的见解。