{"title":"How unexpected geopolitical risk affect the nonlinear spillover among energy and metal markets?","authors":"Shupei Huang, Xinya Wang, Qiang Ji","doi":"10.1016/j.eneco.2024.108143","DOIUrl":null,"url":null,"abstract":"Geopolitical risk interacts with natural resource commodity markets closely and dynamically, which complicates the fluctuation spillover among those markets. We firstly uncover the overall and dynamic information spillover features among energy and metal markets, namely traditional energy, transition energy, new energy metals, precious metals, and traditional bulk metals in the nonlinear causal network constructed by combining the leave-one-out and transfer entropy methods. We then quantify the systemic significance of each sector in that network and further explore the impact of unexpected geopolitical risk in multiple-order moments on the significance of each sector during the sample period from January 4, 2011 to May 7, 2024. The results indicate that precious metals and traditional bulk metals are the two most significant sectors in the nonlinear causal network for information spillovers during the overall sample period, followed by traditional energy, new energy metals, and transition energy sectors; from a dynamic perspective, the significance of the transition energy and new energy metal sectors fluctuates with greater amplitude compared to other sectors. Regarding the impact of geopolitical risk on the significance of each sector, unexpected geopolitical risks have a more significant influence on energy and metal markets compared to generic geopolitical risks; moreover, the mean value of geopolitical risks exerts a greater effect on all sectors than its higher-order moment counterparts; all sectors except the traditional bulk metal sector, their systemic significance is sensitive to geopolitical shocks, especially above the 50th percentile. These results may offer effective references for financial risk management during the energy transition process.","PeriodicalId":11665,"journal":{"name":"Energy Economics","volume":"50 1","pages":""},"PeriodicalIF":13.6000,"publicationDate":"2024-12-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Energy Economics","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1016/j.eneco.2024.108143","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 0
Abstract
Geopolitical risk interacts with natural resource commodity markets closely and dynamically, which complicates the fluctuation spillover among those markets. We firstly uncover the overall and dynamic information spillover features among energy and metal markets, namely traditional energy, transition energy, new energy metals, precious metals, and traditional bulk metals in the nonlinear causal network constructed by combining the leave-one-out and transfer entropy methods. We then quantify the systemic significance of each sector in that network and further explore the impact of unexpected geopolitical risk in multiple-order moments on the significance of each sector during the sample period from January 4, 2011 to May 7, 2024. The results indicate that precious metals and traditional bulk metals are the two most significant sectors in the nonlinear causal network for information spillovers during the overall sample period, followed by traditional energy, new energy metals, and transition energy sectors; from a dynamic perspective, the significance of the transition energy and new energy metal sectors fluctuates with greater amplitude compared to other sectors. Regarding the impact of geopolitical risk on the significance of each sector, unexpected geopolitical risks have a more significant influence on energy and metal markets compared to generic geopolitical risks; moreover, the mean value of geopolitical risks exerts a greater effect on all sectors than its higher-order moment counterparts; all sectors except the traditional bulk metal sector, their systemic significance is sensitive to geopolitical shocks, especially above the 50th percentile. These results may offer effective references for financial risk management during the energy transition process.
期刊介绍:
Energy Economics is a field journal that focuses on energy economics and energy finance. It covers various themes including the exploitation, conversion, and use of energy, markets for energy commodities and derivatives, regulation and taxation, forecasting, environment and climate, international trade, development, and monetary policy. The journal welcomes contributions that utilize diverse methods such as experiments, surveys, econometrics, decomposition, simulation models, equilibrium models, optimization models, and analytical models. It publishes a combination of papers employing different methods to explore a wide range of topics. The journal's replication policy encourages the submission of replication studies, wherein researchers reproduce and extend the key results of original studies while explaining any differences. Energy Economics is indexed and abstracted in several databases including Environmental Abstracts, Fuel and Energy Abstracts, Social Sciences Citation Index, GEOBASE, Social & Behavioral Sciences, Journal of Economic Literature, INSPEC, and more.