Energies, Vol. 19, Pages 239: Time–Frequency Dynamics and Spillover Effects of Clean Energy, Fossil Fuels, Metals and Electricity

Energies, Vol. 19, Pages 239: Time–Frequency Dynamics and Spillover Effects of Clean Energy, Fossil Fuels, Metals and Electricity

Energies doi: 10.3390/en19010239

Authors:
Zhaoyong Sun
Quanping Zhu
C. James Hueng

This paper examines the time-frequency dynamics and the spillover effects among the clean energy, fossil fuel, metal, and electricity markets using a wavelet local multiple correlation analysis and a time-varying-parameter vector autoregression model. The findings suggest that the electricity market is isolated from the other markets in the short to medium term, while long-term interdependence is strong during crises such as the global financial crisis, the COVID-19 pandemic, and the Russia-Ukraine conflict. There exists a long-term integration trend across those four markets, with the fossil fuel and metal markets playing dominant roles. The fossil fuels market remained the primary channel through which systemic shocks were transmitted to all other sectors. The clean energy market has transformed from a market that passively absorbed shocks into a systemic driver during crises. These findings provide insights for investors and policymakers across different time horizons.