Energy Market and Carbon Emission Spillovers in Critical Minerals Investment: A Dynamic Connectedness Approach
关键矿产投资中的能源与碳排放溢出：动态连通性方法AI 解读 ↓
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关键矿产投资中的能源与碳排放溢出：动态连通性方法
- 研究问题
- 关键矿产 ETF 与能源、碳排放期货等变量之间的动态风险传递如何变化，疫情前后哪些资产更偏向波动输出方或接收方？
- 方法与思路
- 作者使用时变参数 VAR 衡量动态连通性与方向性波动溢出，并将日度样本按二〇二〇年二月市场崩跌划分为疫情前后时期。
- 材料陈述的贡献
- 摘要称，高 ESG 评分组合参与冲击溢出，原油与碳期货主要为净接收方，钴和铝 ETF 主要为净输出方，疫情后角色发生变化。
- 阅读关注点
- 应核对 VAR 变量定义、连通性和方向性溢出的构造、分样本依据，以及 ESG 关联和所谓结构变化是否有独立统计检验。
- 阅读边界
- 这是预印本，同行评审及期刊接收未核实。摘要未说明冲击识别或结构突变检验，连通性结果不能直接解释为因果传递。
原文摘要
Design/methodology/approach A time-varying parameter vector autoregression (TVP-VAR) model is employed to quantify dynamic connectedness and directional volatility spillovers using daily data from May 1, 2013, to May 2, 2023. The study isolates the impact of extreme events by splitting the data into pre- and post-COVID-19 samples based on the February 2020 stock market crash. Purpose This paper examines the daily financial risk spillovers associated with investing in critical minerals. It examines the dynamic interconnectedness between seven critical mineral Exchange-Traded Fund (ETF) portfolios and key economic-wide variables, including the energy market, carbon emissions, market sentiment, and global infrastructure. Findings Portfolios with high Environmental, Social, and Governance (ESG) scores significantly contribute to shock spillovers. Net directional connectedness analysis reveals that West Texas Intermediate (WTI) crude oil and carbon emission futures consistently act as "net receivers," absorbing volatility from the system. Conversely, Cobalt and Aluminum ETFs primarily act as "net givers," transmitting volatility. The pandemic caused significant structural shifts in these transmission roles. Practical implications The identification of specific net givers and receivers provides actionable insights for investors, facilitating better hedging strategies against time-varying structural breaks and broader economic shocks. Originality This study uniquely utilizes financial ETF data rather than physical mineral prices to capture accessible investment risks. It is among the first to link ESG scores to the directional role (giver vs. receiver) of critical mineral assets within a broader macro-financial network.