Multiscale dynamic quantile risk spillovers among critical mineral prices and the geopolitical risk index: evidence from a wavelet transform-based quantile VAR network perspective

Risk spillover across financial markets is a hot topic in market risk management. This paper proposes a dynamic quantile connectedness network combined with a wavelet transform model and a rolling window-based quantile VAR model (QVAR model), which investigates the multiscale evolutionary feature of risk spillovers across the geopolitical risk index (GPR) and critical mineral prices that include lithium, nickel, copper, cobalt and rare earth. From a static perspective, the connectedness under different quantiles and scales is different. In addition, under the lower quantile at short-term scale D1, GPR transmits most (least) shocks to copper (cobalt), whereas GPR receives most (least) shocks from nickel (cobalt). From a dynamic perspective, our findings indicate that GPR acts as a net receiver (transmitter) of shock at short-term scales (long-term scales) under any quantile. In addition, the average value of the systemic risk entropy is the largest (smallest) at short-term scale D1 (short-term scale D2), and the system risk entropy at short-term scale D1 begins with a lower value and then increases and continues to fluctuate. This study provides a multiscale perspective to study the dynamic quantile risk spillovers between GPR and critical mineral prices and serves as a reference for policy-makers and investors.