Time-Frequency Spillovers and the Determinants among Fossil Energy, Clean Energy and Metal Markets
使用频域溢出指数方法，研究了化石能源、清洁能源与金属市场间的短期和长期溢出效应，发现短期溢出更强，清洁能源是主要溢出方，稀土金属最易受影响，且短期溢出由政策变化驱动，长期受股市不确定性和经济基本面影响。
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.