Jiang Wei, Chen Yunfei
School of Economics, Qingdao University, Qingdao, 266100, China.
School of Economics, Shanghai University, Shanghai, 201800, China.
Resour Policy. 2022 Aug;77:102763. doi: 10.1016/j.resourpol.2022.102763. Epub 2022 May 12.
The study investigates static and dynamic returns spillover effects between metal (gold, silver, copper and aluminum), energy (oil, natural gas and coal) and carbon markets in different frequency domains using the Diebold Yilmaz (2012) and the Baruník and Křehlík (2018) method. The results show that total connectedness in the post-COVID world is significantly higher compared to pre-COVID-19 outbreak period. The total spillover is contributed mainly by short-term spillover effects. Moreover, metal markets especially copper and silver have higher explanatory power. Spillover within markets is stronger than across these markets. In addition, the carbon market is more heavily interactive with other markets, and the metal market especially copper has relatively high explanatory power for the carbon price fluctuations in post-COVID-19outbreak periods. According to the net spillover, copper and gold has a hedge function in the short- and long-term, respectively. Furthermore, the relationship among these markets is time-varying, affected by market uncertainty such as the outbreak or major events.
本研究运用迪博尔德-伊尔马兹（2012年）以及巴鲁尼克和克雷利克（2018年）的方法，在不同频率域研究金属（黄金、白银、铜和铝）、能源（石油、天然气和煤炭）与碳市场之间的静态和动态回报溢出效应。结果表明，与新冠疫情爆发前的时期相比，后疫情时代的总体关联性显著更高。总溢出主要由短期溢出效应造成。此外，金属市场尤其是铜和白银具有更高的解释力。市场内部的溢出强于这些市场之间的溢出。此外，碳市场与其他市场的互动更为密切，并且在新冠疫情爆发后时期，金属市场尤其是铜对碳价波动具有相对较高的解释力。根据净溢出情况，铜和黄金分别在短期和长期具有对冲功能。此外，这些市场之间的关系是随时间变化的，受到疫情爆发或重大事件等市场不确定性的影响。
