How unexpected geopolitical risk affect the nonlinear spillover among energy and metal markets?

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.