Econ Papers Daily / 期刊论文
危机是整合还是分裂能源转型金属市场？——基于连通性危机类型学的证据
Do crises integrate or fragment energy transition metals markets? Evidence from a connectedness-based crisis typology
摘要
This paper develops a two-dimensional crisis typology that classifies the impact of major crisis episodes on return spillover connectedness across energy transition metals (ETM) markets. Using daily data for 17 metals, spanning base metals, precious metals, battery metals, and technology metals, and the rolling-window Diebold–Yılmaz (2012) connectedness framework, the paper classifies 11 crisis events between 2017 and 2025 along two orthogonal axes: the direction of the connectedness shift (integration vs. fragmentation) and the stability of the response (volatile vs. stable), with the latter benchmarked against a bootstrap-derived threshold from pre-crisis markets. The typology reveals a fragmentation paradox: supply-side shocks (armed conflicts and bilateral trade restrictions) consistently decrease market connectedness, while demand-side shocks (pandemics, monetary tightening, and financial crises) consistently increase it. This dichotomy, which is robustly preserved across all 25 event-study window specifications, challenges the prevailing assumption in the connectedness literature that crises uniformly amplify systemic risk through heightened spillovers. The mechanism is grounded in the distinction between common-factor and idiosyncratic transmission channels: supply disruptions affect individual metals asymmetrically based on their geographic exposure, fragmenting the co-movement structure, while demand shocks operate through common macroeconomic channels that drive all metals together. The typology has implications for strategic reserves policy, portfolio hedging, and energy transition risk assessment, suggesting that geopolitical risk to critical minerals supply chains is more modular than the contagion hypothesis predicts.
中文摘要
本文构建了一个二维危机类型学，用于分类重大危机事件对能源转型金属（ETM）市场间收益溢出关联性的影响。基于17种金属（涵盖基本金属、贵金属、电池金属和技术金属）的日度数据，并采用滚动窗口Diebold–Yılmaz（2012）关联性框架，本文将2017年至2025年间的11次危机事件沿两条正交轴进行分类：关联性变化的方向（整合与碎片化）和响应的稳定性（波动与稳定），后者以危机前市场通过自助法得出的阈值为基准。该类型学揭示了一个碎片化悖论：供给侧冲击（武装冲突和双边贸易限制）持续降低市场关联性，而需求侧冲击（流行病、货币紧缩和金融危机）持续提高市场关联性。这一二分法在所有25种事件研究窗口设定下均稳健保持，挑战了关联性文献中关于危机通过加剧溢出效应统一放大系统性风险的主流假设。其机制根植于共同因子与特质性传导渠道的区分：供给中断基于各金属的地理暴露对其产生不对称影响，从而碎片化共同运动结构；而需求冲击通过驱动所有金属共同运动的共同宏观经济渠道发挥作用。该类型学对战略储备政策、投资组合对冲和能源转型风险评估具有启示意义，表明关键矿产供应链的地缘政治风险比传染假说所预测的更具模块化特征。