Climate policy uncertainty, clean energy and energy metals: A quantile time-frequency spillover study

Sen Qiao, Yuan Chang, Xi Xi Mai and Yi Jing Dang

Energy Economics, 2024, vol. 139, issue C

Abstract: Climate change mitigation has become a global imperative, making the development of clean energy very important. This paper explores the risk contagion effects among climate policy uncertainty (CPU), clean energy, and energy metals from the quantile time-frequency spillover perspective. The results show that: (1) The spillover effects among climate policy uncertainty, clean energy, and energy metals are nonlinear across the entire conditional distribution, showing a “V” shape, with the right-tailed risk contagion effect being more significant. (2) The risk contagion effect is abruptly enhanced by external extreme event shocks, with stronger market connectivity in the low-frequency band compared to the high-frequency band. Short-term spillover effects dominate cross-market risk contagion in the upper quantile, while long-term spillover effects dominate the lower quantile. (3) The spillover network is characterized by abrupt structural changes. That is, clean energy is a source of risk contagion at lower quantiles, while energy metals are a source of risk contagion at upper quantiles. (4) The CPU acts as an important node in the cross-market risk contagion path. Driven by CPU, the upper quantile and the long-term risk transmission is along “energy metal-clean energy” path, while the lower quantile and the short-term risk transmission is along “clean energy-energy metal” path.

Keywords: Climate policy uncertainty; Clean energy; Energy metals; Condition quantile; Time-frequency spillovers (search for similar items in EconPapers)
Date: 2024
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0140988324006273
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:139:y:2024:i:c:s0140988324006273

DOI: 10.1016/j.eneco.2024.107919

Access Statistics for this article

Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant

More articles in Energy Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().