Multilayer Information Spillover Network Analysis in Fossil Energy, Metal, and Clean Energy Markets
DOI:
https://doi.org/10.54097/kmfhck94Keywords:
fossil energy, metals, clean energy, multi-layer networks, information spillover.Abstract
With the accelerating transformation of the global energy structure, the interplay between fossil energy and clean energy markets has become increasingly complex, while critical metal markets further shape the overall risk landscape. To systematically characterize the multidimensional risk transmission among these three markets, this study constructs a multi-layer information spillover network encompassing returns, volatility, and extreme risk. Using daily data from May 1, 2014, to April 30, 2024, and employing the TVP-VAR model and multi-layer network methodology, the research reveals risk spillover mechanisms from both static and dynamic perspectives. The findings indicate: first, significant risk spillover effects exist between energy and metal markets; second, the systemic spillover effects exhibit clear time-varying characteristics, with the volatility dimension being particularly sensitive to shocks from major events; third, the roles of key markets are dimension-dependent: clean energy consistently acts as a net risk transmitter across all three dimensions, while markets such as copper and coal play varying roles under different dimensions, and the safe-haven function of precious metals weakens significantly under extreme conditions. The conclusions of this study provide a basis for regulatory authorities to construct a multidimensional risk monitoring framework and offer insights for investors to implement cross-dimensional risk management strategies.
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