Arbeitspapier

The connectedness of Energy Transition Metals

We assess the degree of connectedness among 16 metals that are critical for the production of clean energy technologies. These commodities are the constituents of the Energy Transition Metals (ETMs) price index maintained by the International Monetary Fund and comprise base, precious, and minor metals. We rely on Vector Autoregressive models and generalized forecast error variance decomposition to quantify spillovers among ETMs returns and volatilities. By calculating both static and dynamic measures of connectedness, we gain insight into the patterns of shock transmission between ETMs. Our static analysis reveals that base and precious metals are net shock transmitters, while minor and most battery metals are net receivers. By splitting the analysis into three groups, we find that almost half of the connectedness originates within each group, whereas the other half is due to cross-group spillovers. Moreover, we find that the system-wide connectedness of returns is positively correlated with proxies of economic activity, whereas volatility connectedness seems to be more related to global economic policy uncertainty.

Language
Englisch

Bibliographic citation
Series: Working Paper ; No. 011.2023

Classification
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Commodity Markets
Energy: Demand and Supply; Prices
Energy and the Macroeconomy
Energy: Government Policy
Subject
Connectedness
Energy Transition
Metals
Raw materials

Event
Geistige Schöpfung
(who)
Bastianin, Andrea
Casoli, Chiara
Galeotti, Marzio
Event
Veröffentlichung
(who)
Fondazione Eni Enrico Mattei (FEEM)
(where)
Milano
(when)
2023

Handle
Last update
10.03.2025, 11:43 AM CET

Data provider

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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.

Object type

  • Arbeitspapier

Associated

  • Bastianin, Andrea
  • Casoli, Chiara
  • Galeotti, Marzio
  • Fondazione Eni Enrico Mattei (FEEM)

Time of origin

  • 2023

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