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Decoding multidimensional risk spillovers in “metal-energy-carbon” System: Novel insights from higher-order moments

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  • Hua, Siying
  • Jiang, Yuanying
  • Chen, Binxia

Abstract

With the acceleration of green-oriented transition of energy, metals have become inextricably linked to traditional, renewable energy and carbon markets due to their “carbon-intensive” and “carbon-reducing” properties. Consequently, we established a comprehensive “metal-energy-carbon” system. By integrating the GJR-GARCHSK model with the TVP-VAR (time-varying vector autoregressive) extended joint connectedness approach, this study systematically analyzed the multidimensional risk spillover effects among the markets since 2019 and established multivariate portfolio strategies. Additionally, the TVP-VAR-SV model is employed to dynamically explore the time-varying impact of geopolitical risks on the spillover effects of this system. Our findings indicated that China's “metal-energy-carbon” system exhibited significant risk spillovers across different dimensions, with the volatility spillover being the most pronounced. The system's dynamic connectedness showed significant time-varying features. The total connectedness level was closely tied to major events, notably surging during the COVID-19 and the Russia-Ukraine conflict. Furthermore, geopolitical risk had a significantly different dynamic impact on lower and higher-order moment spillovers, with the impact on the latter being more rapid and conspicuous. We emphasize that these findings are of great importance and provide valuable insights for investors and policymakers, offering a deeper understanding of risk dynamics within “metal-energy-carbon” system.

Suggested Citation

  • Hua, Siying & Jiang, Yuanying & Chen, Binxia, 2026. "Decoding multidimensional risk spillovers in “metal-energy-carbon” System: Novel insights from higher-order moments," Renewable Energy, Elsevier, vol. 256(PD).
    • Handle: RePEc:eee:renene:v:256:y:2026:i:pd:s0960148125018609
    DOI: 10.1016/j.renene.2025.124196
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