Does climate policy uncertainty exacerbate extreme risk spillovers between green economy and energy metals?

Wang Gao, Jiajia Wei, Hongwei Zhang and Haizhen Zhang

Resources Policy, 2024, vol. 91, issue C

Abstract: This study employs a novel quantile time-frequency connectedness approach to capture the risk spillovers between the green economy and energy metals under different market conditions. Also, this paper utilizes the GARCH-MIDAS model to explore whether climate policy uncertainty exacerbates the risk spillover levels. The research findings indicate significant risk spillovers between the green economy and energy metals, notably stronger under extreme quantile conditions. The green economy mainly serves as a risk emitter, while the energy metals act as a receiver. From a dynamic perspective, the risk spillovers are time-varying, with increased fluctuations during periods of climate policy transition. Moreover, extreme risk spillover effects between the green economy and energy metals manifest differences across various frequency domains. The long-term spillovers predominate at lower percentiles, while the short-term effects take over at higher percentiles. Furthermore, climate policy uncertainty significantly exacerbates extreme risk spillovers between the green economy and metals, especially during market turmoil. These findings provide valuable empirical insights for the construction of portfolios and risk management of green assets.

Keywords: Energy metals; Green economy; Extreme risk; Climate policy uncertainty (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:91:y:2024:i:c:s0301420724003131

DOI: 10.1016/j.resourpol.2024.104946

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