文献类型：期刊文献

英文题名：The Impact of External Uncertainties on the Extreme Return Connectedness between Food, Fossil Energy, and Clean Energy Markets

作者：Zhang, Ting[1]; Xu, Hai-Chuan[2,3]; Zhou, Wei-Xing[2,3,4]

机构：[1] School of Business, Hunan University of Science and Technology, Xiangtan, 411201, China; [2] School of Business, East China University of Science and Technology, Shanghai, 200237, China; [3] Research Center for Econophysics, East China University of Science and Technology, Shanghai, 200237, China; [4] School of Mathematics, East China University of Science and Technology, Shanghai, 200237, China

年份：2025

外文期刊名：SSRN

收录：EI(收录号：20250239532)

语种：英文

外文关键词：Investments - Uncertainty analysis

摘要：We investigate the extreme return connectedness between the food, fossil energy, and clean energy markets using the quantile connectedness approach, which combines the traditional spillover index with quantile regression. Our results show that return connectedness at the tails (57.91% for the right tail and 61.47% for the left tail) is significantly higher than at the median (23.02%). Furthermore, dynamic analysis reveals that connectedness fluctuates over time, with notable increases during extreme events. Among these markets, fossil energy market consistently acts as the net receiver, while clean energy market primarily serves as the net transmitter. Additionally, we use linear and nonlinear ARDL models to examine the role of external uncertainties on return connectedness. We find that climate policy uncertainty (CPU), geopolitical risk (GPR), and the COVID-19 pandemic significantly impact median connectedness, while economic policy uncertainty (EPU), GPR, and trade policy uncertainty (TPU) are crucial drivers of extreme connectedness. Our findings provide valuable insights for investors and policymakers on risk spillover effects between food and energy markets under both normal and extreme market conditions. ? 2025, The Authors. All rights reserved.