Climate policy uncertainty, clean energy and energy metals: A quantile time-frequency spillover study

Climate change mitigation has become a global imperative, making the development of clean energy very important. This paper explores the risk contagion effects among climate policy uncertainty (CPU), clean energy, and energy metals from the quantile time-frequency spillover perspective. The results show that: (1) The spillover effects among climate policy uncertainty, clean energy, and energy metals are nonlinear across the entire conditional distribution, showing a "V" shape, with the right-tailed risk contagion effect being more significant. (2) The risk contagion effect is abruptly enhanced by external extreme event shocks, with stronger market connectivity in the low-frequency band compared to the high-frequency band. Short-term spillover effects dominate cross-market risk contagion in the upper quantile, while long-term spillover effects dominate the lower quantile. (3) The spillover network is characterized by abrupt structural changes. That is, clean energy is a source of risk contagion at lower quantiles, while energy metals are a source of risk contagion at upper quantiles. (4) The CPU acts as an important node in the cross-market risk contagion path. Driven by CPU, the upper quantile and the long-term risk transmission is along "energy metal-clean energy" path, while the lower quantile and the short-term risk transmission is along "clean energy-energy metal" path.