Navigating extreme risk spillovers: Building a synergistic network of rare earths, green bonds, and clean energy markets in China

Rare earths, as a vital resource for advancing the transition to a green and low-carbon economy, play a critical role in shaping the dynamic relationship with green financial assets. Using data from October 9, 2012 to September 28, 2023, this study employs a Quantile Vector Autoregression (QVAR) model to examine the time-varying associations among Chinese rare earth elements, green bonds, and clean energy stocks under different quantile regimes and further explores their driving factors. The findings reveal several key insights. First, there is a significant risk contagion effect among the rare earth, green bond, and clean energy stock markets, which is more pronounced under extreme market conditions. Second, during normal market conditions, the rare earth and green bond markets primarily function as net risk receivers, whereas most clean energy stock indexes act as net risk transmitters. However, under extreme market conditions, the roles of these financial assets shift notably. Third, major events intensify risk transmission among the rare earth, green bond, and clean energy stock markets while altering their roles within the spillover network. Finally, the main drivers of the spillover effect at extremely low, medium and extremely high quantiles are GPR, investor sentiment and CPU, respectively. These results offer new insights into the dynamics of the green financial market, providing valuable implications for investors and policymakers in the clean energy sector.