Extreme spillovers among fossil energy, clean energy, and metals markets: Evidence from a quantile-based analysis

Jinyu Chen, Zhipeng Liang, Qian Ding and Zhenhua Liu

Energy Economics, 2022, vol. 107, issue C

Abstract: By combining the traditional Diebold–Yilmaz (2012, 2014) spillover index with the quantile method, we study the extreme spillovers among fossil energy, clean energy, and metals markets from June 25, 2009, to December 31, 2020. We estimate the average connectedness between markets to be about 45% under mean/median conditions, but about 76% according to left- and right-tail estimates. The results show that the mean-based connectedness model has many limitations because when considering extreme positive or negative events, the spillover effect between the three markets is stronger than that under the mean and normal market conditions. Also, dynamic spillovers between markets under various conditions have time-varying characteristics but are less volatile according to the tail estimates. However, the spillover effects between the three markets are asymmetric due to certain differences in spillover effects under extremely positive and negative event conditions. Regarding the net spillover effects under mean/median conditions, clean energy changes from a spillover receiver to an exporter after the signing of the Paris Agreement.

Keywords: Extreme spillovers; Quantile regression; Clean energy; Fossil energy; Metals (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (74)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:107:y:2022:i:c:s0140988322000627

DOI: 10.1016/j.eneco.2022.105880

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