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Energy transition metals and global sentiment: Evidence from extreme quantiles

Author

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  • Ghosh, Bikramaditya
  • Pham, Linh
  • Gubareva, Mariya
  • Teplova, Tamara

Abstract

This paper examines the quantile connectedness between energy transition metals, defined as those needed for the transition from dirty to clean energy, and global economic and financial sentiment benchmarks. Using data for five metals, - namely, aluminum, cobalt, copper, lithium, and nickel, - and two sentiment indices over 2019–2022, we empirically demonstrate that the US Economic Sentiment Index (ESI) and Societe Generale Global Sentiment Index (SGGSI) are found to be net receivers of shocks across all four extreme quantiles: 0.05, 0.10, 0.90, and 0.95. Thus, it is shown that energy transition metal markets impact global sentiment, especially during stressed periods. We also document that the total connectedness/risk spillovers between clean energy metals and sentiment indices exhibit substantial increase in the extreme quantiles. Moreover, we provide empirical evidence that there is asymmetry in spillovers over time and across quantiles.

Suggested Citation

  • Ghosh, Bikramaditya & Pham, Linh & Gubareva, Mariya & Teplova, Tamara, 2023. "Energy transition metals and global sentiment: Evidence from extreme quantiles," Resources Policy, Elsevier, vol. 86(PA).
    • Handle: RePEc:eee:jrpoli:v:86:y:2023:i:pa:s0301420723008814
    DOI: 10.1016/j.resourpol.2023.104170
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    Keywords

    Energy transition metals; Global sentiment; Quantile connectedness; Quantile vector auto-regression;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • Q31 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Nonrenewable Resources and Conservation - - - Demand and Supply; Prices
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices

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