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Extreme Connectedness among Energy Transition Metals and Commodity Markets

Author

Listed:
  • Andrea Bastianin

    (Department of Economics, Management, and Quantitative Methods, University of Milan, Italy & Fondazione Eni Enrico Mattei, Italy)

  • Chiara Casoli

    (Fondazione Eni Enrico Mattei, Italy & InsIDE Lab, Department of Economics, University of Insubria, Italy)

  • Evzen Kocenda

    (Charles University, Institute of Economic Studies, Prague, Czech Republic; Mendel University, Faculty of Business and Economics, Brno, Czech Republic; CESifo, Munich, Germany; IOS, Regensburg, Germany)

  • Xiao Li

    (Department of Economics and Management, University of Brescia, Italy)

Abstract

The global energy transition is reshaping commodity demand, yet its implications for commodity risk transmission remain unclear. We analyze connectedness among Energy Transition Metals (ETMs) – a subset of metals that are key inputs in clean energy technologies – energy commodities, and industrial metals using a Quantile Factor VAR framework. We document strong state dependence: spillovers are substantially larger in the tails of the return distribution than at the median. While crude oil remains influential, its dominance weakens post-Covid as ETMs, particularly base ETMs, gain centrality. A complementary event-study shows ETM-related policy announcements amplify spillovers in extreme regimes, indicating structural reconfiguration and systemic implications.

Suggested Citation

  • Andrea Bastianin & Chiara Casoli & Evzen Kocenda & Xiao Li, 2026. "Extreme Connectedness among Energy Transition Metals and Commodity Markets," Working Papers IES 2026/2, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Apr 2026.
    • Handle: RePEc:fau:wpaper:wp2026_02
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    Keywords

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    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
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
    • Q48 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Government Policy

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