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Time-Frequency Spillovers and the Determinants among Fossil Energy, Clean Energy and Metal Markets

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Listed:
  • Qian Ding
  • Jianbai Huang
  • Jinyu Chen

Abstract

Using the frequency-domain spillover index method, we investigate time-frequency spillovers and their underlying drivers among fossil energy, clean energy and metal markets. We find that short-term spillovers are stronger than long-term spillovers. Global clean energy markets are powerful spillover transmitters that can have strong impacts on fossil energy and metal markets. Rare earth metals are most vulnerable to spillover effects from clean energy and base metal markets, particularly in the long term. Different clean energy sources and metal markets have heterogeneous connectedness, e.g., the impact of wind energy on rare earth market is greater than that of solar energy. The short-term spillovers are mainly driven by policy changes, while the long-term spillovers are mainly affected by stock market uncertainty and economic fundamentals. Our findings have important implications for the construction of optimal diversification strategies and the design of policy incentives to promote clean energy investments across different time horizons.

Suggested Citation

  • Qian Ding & Jianbai Huang & Jinyu Chen, 2023. "Time-Frequency Spillovers and the Determinants among Fossil Energy, Clean Energy and Metal Markets," The Energy Journal, , vol. 44(2), pages 259-286, March.
    • Handle: RePEc:sae:enejou:v:44:y:2023:i:2:p:259-286
    DOI: 10.5547/01956574.44.2.qdin
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    References listed on IDEAS

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    1. Olivier Bahn, Kelly de Bruin, and Camille Fertel, 2019. "Will Adaptation Delay the Transition to Clean Energy Systems? An Analysis with AD-MERGE," The Energy Journal, International Association for Energy Economics, vol. 0(Number 4).
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    5. Mhadhbi, Mayssa, 2024. "The interconnected carbon, fossil fuels, and clean energy markets: Exploring Europe and China's perspectives on climate change," Finance Research Letters, Elsevier, vol. 62(PB).
    6. Chu, Wen-Jun & Fan, Li-Wei & Zhou, P., 2024. "Extreme spillovers across carbon and energy markets: A multiscale higher-order moment analysis," Energy Economics, Elsevier, vol. 138(C).

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