摘要
Abstract
This study employs the QVAR-DY approach to examine the risk spillover relationship between new energy mineral import prices and green industries in the stock market.Building on this,the TVP-VAR model is used to further explore the under-lying mechanisms driving such spillovers.The results show that,from a static perspective,there is significant bidirectional risk spillover between new energy mineral import prices and green industry indices,with stronger spillovers observed under extreme mar-ket conditions.In particular,during extreme upward market phases,new energy minerals act as net transmitters of risk,while green industries serve as net receivers.From a dynamic perspective,the intensity and direction of spillovers are highly sensitive to shifts in the economic and financial environment.Following the Russia-Ukraine conflict,new energy minerals(such as cobalt,nickel,copper,and silicon)largely functioned as net risk transmitters,whereas production-oriented green industries became net receivers.The mechanism analysis indicates that spillovers exhibit a sharp initial impulse response,with the shock intensity ranked from highest to lowest as:China's low-carbon transition index,exchange rate fluctuations,and China's economic policy uncertain-ty.Notably,the effects of policy uncertainty are the shortest in duration.Based on these findings,investors are advised to dynami-cally adjust their green investment portfolios in response to fluctuations in mineral import prices.Policymakers should strengthen supply chain security mechanisms to stabilize the green economic transition,and regulators should enhance oversight of spot and fu-tures markets and deepen international resource cooperation to jointly mitigate systemic financial risks.关键词
能源转型/矿产进口/绿色行业/风险溢出/股票市场/低碳目标/汇率波动/经济政策Key words
energy transition/mineral imports/green sector/risk spillover/stock market/low-carbon transition index/exchange rate fluctuations/economic policy uncertainty分类
经济学
