COVID-19, the Russian-Ukrainian conflict and the extreme spillovers between fossil energy, electricity, and carbon markets

Our study explores the extreme spillovers between the fossil energy, electricity, and carbon markets during the COVID-19 pandemic and the Russia-Ukrainian conflict. We observe significant increases in the spillovers between these markets following these two black swan events, with stronger spillover effects at the two tails than those at the median quantile. Moreover, the dynamic spillovers between these markets differ in highly bullish and bearish markets, indicating that the tail spillovers are asymmetric. Among these markets, the crude oil and carbon markets are the leading net spillover transmitters, and the coal and electricity markets are the main net spillover receivers. However, after the outbreak of the Russia-Ukraine conflict in February 2022, we discover that the carbon market transformed from a net spillover transmitter to a net spillover receiver. Based on this, we provide meaningful insights to better manage and prevent risk.