Energy transition requires huge amounts of critical metals —called energy transition metals (ETMs)— to deploy clean energy technologies. The growing demand for ETMs and uncertainties regarding the path to net-zero emissions could cause ETM price oscillations, with potential effects on the prices of other commodities. We explore whether upward and downward movements in ETM prices have a neutral effect on the level and volatility of energy and non-energy commodity prices. By characterizing the conditional dependence between ETM and commodity prices, we document that, except for natural gas, extreme ETM price changes have a non-neutral effect on commodity prices, although this effect vanishes for non-extreme price movements. The implications of this evidence for investors operating in commodity markets are evaluated in terms of commodity risk-adjusted returns, commodity tail risk, and liquidity needs for trading in commodity futures contracts.

Reboredo, J., Ugolini, A., Ojea-Ferreiro, J. (2024). Tail risks of energy transition metal prices for commodity prices. RESOURCES POLICY, 93(June 2024) [10.1016/j.resourpol.2024.105057].

Tail risks of energy transition metal prices for commodity prices

Ugolini, Andrea
Secondo
;
2024

Abstract

Energy transition requires huge amounts of critical metals —called energy transition metals (ETMs)— to deploy clean energy technologies. The growing demand for ETMs and uncertainties regarding the path to net-zero emissions could cause ETM price oscillations, with potential effects on the prices of other commodities. We explore whether upward and downward movements in ETM prices have a neutral effect on the level and volatility of energy and non-energy commodity prices. By characterizing the conditional dependence between ETM and commodity prices, we document that, except for natural gas, extreme ETM price changes have a non-neutral effect on commodity prices, although this effect vanishes for non-extreme price movements. The implications of this evidence for investors operating in commodity markets are evaluated in terms of commodity risk-adjusted returns, commodity tail risk, and liquidity needs for trading in commodity futures contracts.
Articolo in rivista - Articolo scientifico
Commodity prices; Copulas; Energy transition metals; Tail risk;
English
16-mag-2024
2024
93
June 2024
105057
open
Reboredo, J., Ugolini, A., Ojea-Ferreiro, J. (2024). Tail risks of energy transition metal prices for commodity prices. RESOURCES POLICY, 93(June 2024) [10.1016/j.resourpol.2024.105057].
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10281/477099
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