New energy mineral price shocks and volatility responses in green securities markets: Structural effects and dynamic spillovers

Qingjun Zhang, Renyi Wei and Sijia Fan

Applied Energy, 2025, vol. 382, issue C, No S030626192402614X

Abstract: As the global low-carbon development and energy transition progress, the impact of new energy mineral prices on the green securities markets is increasingly significant. To identify the role of the impact, we use the MSVAR and TVP-SVAR-SV models to identify the effects of international new energy mineral price fluctuations on China's green securities markets. Our general findings are as follows: (1) Green securities markets will be fundamentally changed by the structural impact of new energy minerals, which exhibits heterogeneous effects with different periods. (2) The structural shocks to the green securities markets are concentrated in the short term, as shown by the crucial difference in the degree and direction of response between the green stock market and the green bond market. (3) Our study examines the role of exogenous policies in the effects of structural shocks to new energy mineral prices on China's green securities markets. The evidence shows that active exogenous policies can effectively mitigate the impact of structural shocks on China's green securities markets while promoting its development.

Keywords: Structural shocks; New energy minerals; Green securities; MSVAR model; TVP-SVAR-SV model (search for similar items in EconPapers)
JEL-codes: E30 G10 (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1016/j.apenergy.2024.125230

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