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New energy mineral price shocks and volatility responses in green securities markets: Structural effects and dynamic spillovers

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  • Zhang, Qingjun
  • Wei, Renyi
  • Fan, Sijia

Abstract

As the global low-carbon development and energy transition progress, the impact of new energy mineral prices on the green securities markets is increasingly significant. To identify the role of the impact, we use the MSVAR and TVP-SVAR-SV models to identify the effects of international new energy mineral price fluctuations on China's green securities markets. Our general findings are as follows: (1) Green securities markets will be fundamentally changed by the structural impact of new energy minerals, which exhibits heterogeneous effects with different periods. (2) The structural shocks to the green securities markets are concentrated in the short term, as shown by the crucial difference in the degree and direction of response between the green stock market and the green bond market. (3) Our study examines the role of exogenous policies in the effects of structural shocks to new energy mineral prices on China's green securities markets. The evidence shows that active exogenous policies can effectively mitigate the impact of structural shocks on China's green securities markets while promoting its development.

Suggested Citation

  • Zhang, Qingjun & Wei, Renyi & Fan, Sijia, 2025. "New energy mineral price shocks and volatility responses in green securities markets: Structural effects and dynamic spillovers," Applied Energy, Elsevier, vol. 382(C).
    • Handle: RePEc:eee:appene:v:382:y:2025:i:c:s030626192402614x
    DOI: 10.1016/j.apenergy.2024.125230
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    More about this item

    Keywords

    Structural shocks; New energy minerals; Green securities; MSVAR model; TVP-SVAR-SV model;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)

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