关键矿产投资中的能源市场与碳排放溢出：一种动态关联度方法
Energy Market and Carbon Emission Spillovers in Critical Minerals Investment: A Dynamic Connectedness Approach
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中文总结 AI 辅助
本研究采用TVP-VAR模型，利用2013-2023年数据，考察关键矿产ETF与能源、碳排放等变量的动态关联，发现ESG高评分投资组合推动溢出，疫情改变波动传递角色，为投资者提供对冲策略见解。
中文摘要 AI 辅助
设计/方法/途径：采用时变参数向量自回归（TVP-VAR）模型，使用2013年5月1日至2023年5月2日的每日数据量化动态关联度和方向性波动溢出效应；通过基于2020年2月股市崩盘将数据划分为新冠疫情前后样本，分离极端事件的影响。目的：本文研究关键矿产投资相关的每日金融风险溢出效应，考察7个关键矿产交易所交易基金（ETF）投资组合与能源市场、碳排放、市场情绪、全球基础设施等全经济关键变量之间的动态关联。结果：具有高环境、社会和治理（ESG）评分的投资组合显著推动冲击溢出；净方向性关联度分析显示，西德克萨斯中质（WTI）原油和碳排放期货始终作为“净接收方”吸收系统波动，而钴和铝ETF主要作为“净输出方”传递波动；疫情导致这些传递角色发生重大结构性转变。实际意义：明确特定净输出方和净接收方为投资者提供了可操作的见解，有助于制定应对时变结构性断裂和更广泛经济冲击的更好对冲策略。原创性：本研究独特地使用金融ETF数据而非实物矿产价格来捕捉可及的投资风险，是首批将ESG评分与关键矿产资产在更广泛宏观金融网络中的方向性角色（输出方vs.接收方）相联系的研究之一。
英文摘要
Design/methodology/approach A time-varying parameter vector autoregression (TVP-VAR) model is employed to quantify dynamic connectedness and directional volatility spillovers using daily data from May 1, 2013, to May 2, 2023. The study isolates the impact of extreme events by splitting the data into pre- and post-COVID-19 samples based on the February 2020 stock market crash. Purpose This paper examines the daily financial risk spillovers associated with investing in critical minerals. It examines the dynamic interconnectedness between seven critical mineral Exchange-Traded Fund (ETF) portfolios and key economic-wide variables, including the energy market, carbon emissions, market sentiment, and global infrastructure. Findings Portfolios with high Environmental, Social, and Governance (ESG) scores significantly contribute to shock spillovers. Net directional connectedness analysis reveals that West Texas Intermediate (WTI) crude oil and carbon emission futures consistently act as "net receivers," absorbing volatility from the system. Conversely, Cobalt and Aluminum ETFs primarily act as "net givers," transmitting volatility. The pandemic caused significant structural shifts in these transmission roles. Practical implications The identification of specific net givers and receivers provides actionable insights for investors, facilitating better hedging strategies against time-varying structural breaks and broader economic shocks. Originality This study uniquely utilizes financial ETF data rather than physical mineral prices to capture accessible investment risks. It is among the first to link ESG scores to the directional role (giver vs. receiver) of critical mineral assets within a broader macro-financial network.
