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The impact of uncertainty shocks on energy transition metal prices

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  • Reboredo, Juan C.
  • Ugolini, Andrea

Abstract

We study whether uncertainty shocks are transmitted to energy transition metal (ETM) prices. Using a quantile vector autoregression model, we assess the impact on ETM price changes of shocks arising from economic policy uncertainty, climate policy uncertainty, geopolitical risk, financial market uncertainty, and oil price uncertainty. We document that the impact of uncertainty is U-shaped across ETM price quantiles, with modest effects in the intermediate quantiles and stronger impacts in the extreme, but mainly upper, quantiles. Climate policy uncertainty and geopolitical risk are the main uncertainty drivers in the extreme quantiles, while financial- and oil-related uncertainties have more pervasive effects in the intermediate quantiles. This evidence has implications for policymakers regarding the implementation cost of transition policies that generate uncertainties, and for investors in ETM futures markets regarding diversification and tail risk management decisions.

Suggested Citation

  • Reboredo, Juan C. & Ugolini, Andrea, 2024. "The impact of uncertainty shocks on energy transition metal prices," Resources Policy, Elsevier, vol. 95(C).
    • Handle: RePEc:eee:jrpoli:v:95:y:2024:i:c:s0301420724005282
    DOI: 10.1016/j.resourpol.2024.105161
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    More about this item

    Keywords

    Uncertainty; Energy transition metals; Quantile vector autoregression;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy
    • Q54 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Climate; Natural Disasters and their Management; Global Warming

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