<paper_title>Energy Market and Carbon Emission Spillovers in Critical Minerals Investment: A Dynamic Connectedness Approach
创建于 更新于
摘要
<paper_abstract>This study employs a time-varying parameter vector autoregression (TVP-VAR) to quantify dynamic connectedness and directional volatility spillovers between seven critical mineral ETF portfolios and macro-financial variables (energy market, carbon emissions, market sentiment, and global infrastructure). The analysis uses daily data from 2013-05-01 to 2023-05-02 and distinguishes pre- and post-COVID-19 periods to capture structural breaks during the energy transition. Findings reveal ESG scores significantly influence spillovers, with higher-ESG portfolios more likely to act as net transmitters, while energy and carbon-emission futures tend to be net receivers. The COVID-19 episode induced substantial shifts in transmission roles, and ESG-based risk links emerge as a key systemic factor for investors seeking hedging and diversification in a dynamic macro-financial network. This work contributes by leveraging ETF data to reflect investable risk and by linking ESG performance to a portfolio’s directional role within a broader connectedness framework. [page::0]
