Dynamic dependence between main-byproduct metals and the role of clean energy market

Huiling Song, Chang Wang, Xiaojie Lei and Hongwei Zhang

Energy Economics, 2022, vol. 108, issue C

Abstract: This paper explores the dynamic dependence between the prices of main-byproduct metal pairs by applying the time-varying parameter vector autoregression (TVP-VAR) modelling. The novel insights into the effect of clean energy market on the connectedness of main-byproduct metal markets are also provided via Granger causality tests and nonparametric causality-in-quantiles approach. Empirical results indicate the time-varying nature of the spillover between main-byproduct metals and the overlooked spillover effect from the byproduct metal market. The significant causal effect of the clean energy market on the co-movement between main-byproduct metal markets implies that the clean energy market and main-byproduct metal markets are closely linked. Particularly, the wind energy market has a stronger effect than the solar energy market on the total spillover of the main-byproduct metal pairs. Furthermore, a battery of linear and nonlinear causality tests suggests the heterogeneous effect of the clean energy market, which causes a linear impact on the spillover from main metal to byproduct metal market, while brings a nonlinear causal effect on the spillover from byproduct metal to main metal market. Our findings highlight the significant role of clean energy market in the connectedness between main-byproduct metal markets.

Keywords: Clean energy market; Main-byproduct metals; Dynamic spillover; Time-varying parameter vector autoregression; Nonparametric causality-in-quantiles (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (17)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:108:y:2022:i:c:s0140988322000858

DOI: 10.1016/j.eneco.2022.105905

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