Does clean energy matter? Revisiting the spillovers between energy and foreign exchange markets

Abstract This article highlights the increasingly important role of clean energy metals in return and volatility spillovers across energy and foreign exchange markets. During the collapse of oil prices from 2014 to 2016, crude oil futures were at the center of the risk contagion; however, since the COVID‐19 pandemic broke out, the spillovers of clean energy metal futures have become one of the main sources of the risk contagion. Additionally, crude oil and the US dollar are the most important contributors to the spillovers, but further spillovers are emerging between the Chinese yuan, euro, and Japanese yen with clean energy metals.