The impact of climate policy uncertainty on China’s green energy and non-ferrous metals market co-movement: Evidence from spillover perspectives

• Published in: Journal of environmental management 2024-09, Vol.367, p.121845, Article 121845
• Main Authors: Xing, Xiaoyun, Liu, Yazhe, Zhu, Yuxuan, Deng, Jing
• Format: Article
• Language: English
• Subjects: Climate policy uncertainty; Extreme spillover effects; Green energy market; Non-ferrous metals market
• ISSN: 0301-4797; 1095-8630; 1095-8630
• DOI: 10.1016/j.jenvman.2024.121845

The rapid development of green energy would render a profound impact on the non-ferrous metals markets in China. This paper adopts the quantile vector autoregression (QVAR) to investigate the spillover effects between China’s green energy and non-ferrous metals markets as well as their dynamic pattern under normal and extreme conditions. Furthermore, GARCH-MIDAS model and quantile regression method are applied to examine the impact of China’s climate policy uncertainty on the spillovers between the two markets. In doing so, we find that green energy markets mainly act as transmitters of return spillover effects to non-ferrous metals markets during normal market times and periods of downturns. However, in upturns, the non-ferrous metals markets would easily transit spillover effects to green energy ones. It is further indicated that China’s climate policy uncertainty exacerbates the spillover effect, and the exacerbated effect of high uncertainty on the market relationship when the spillover effect is at high level is the most significant. •The spillover between green energy and non-ferrous metals markets across quantiles is examined.•China’s climate policy uncertainty index is constructed through text analysis.•The impact of climate policy uncertainty on market spillovers would be heterogeneous.•The intensifying effect is the most significant when the market spillovers are at high quantiles.