Measurement, identification, and spillover effects of systemic risk in the international clean energy market

The International Clean Energy Market (ICEM) has emerged as one of the fastest-growing sectors in the energy industry. The increasing financialization and integration of the ICEM has meant that internal systemic risks have begun to surface, which can potentially seriously threaten the stable development of the ICEM. To explore systemic risk management strategies that can be enacted in the ICEM, this paper utilizes the Weighted Turbulence Model (WDTI) to measure the evolutionary characteristics of the systemic risk levels within the ICEM from 2012 to 2022. Subsequently, it explores spillover structure in the ICEM through volatility spillover effect (VSE). The results obtained indicate that the occurrence of systemic risk days in the ICEM is closely related to impact events, and its systemic risks are characterized by their rapid eruption, which can erupt more than twice. The volatility in any specific sub-sector within the ICEM can propagate throughout the entire system. The spillover pattern of volatility in the ICEM shows similarities across various economic cycles. The fuel cell market is specifically identified as the Systemically Important Market (SIM) within the ICEM. This paper establishes a theoretical foundation for managing systemic risk and ensuring the stability of ICEM.