Decoding energy market turbulence: A TVP-VAR connectedness analysis of climate policy uncertainty and geopolitical risk shocks

IF 12.9 1区 管理学 Q1 BUSINESS Technological Forecasting and Social Change Pub Date : 2024-11-05 DOI:10.1016/j.techfore.2024.123863
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Abstract

The ongoing escalation in geopolitical and climate uncertainties, coupled with the urgent issue of climate change, has profoundly affected the economic and political landscape, significantly increasing volatility in the energy and financial markets. This study investigates the dynamic interactions and spillover effects between geopolitical risks (GPR) and U.S. climate policy uncertainty (CPU) indices, energy markets (crude oil and natural gas prices), and U.S. 10-year Treasury yields from January 2008 to December 2023. We use the time-varying parameter vector autoregression (TVP-VAR) model to capture the studied nexus's nonlinear and evolving nature. Findings show that GPR and CPU jointly affect the volatility and connectedness of the studied markets. While GPR has immediate and more pronounced effects, particularly on oil prices, CPU exerts a more prolonged and diffuse impact. Furthermore, the results indicate that oil prices (U.S. Treasury yields) are the shocks' primary transmitter (receiver) to (from) other markets. The study suggests that policymakers should consider diversifying energy sources and enhancing strategic reserves to mitigate the adverse effects of these uncertainties. Additionally, the findings support an expedited transition to renewable energy sources, less sensitive to geopolitical and policy-related disruptions, in alignment with global efforts to combat climate change.
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能源市场动荡解码:气候政策不确定性和地缘政治风险冲击的 TVP-VAR 关联性分析
地缘政治和气候不确定性的持续升级,加上气候变化问题的紧迫性,对经济和政治格局产生了深远影响,大大增加了能源和金融市场的波动性。本研究调查了 2008 年 1 月至 2023 年 12 月地缘政治风险(GPR)和美国气候政策不确定性(CPU)指数、能源市场(原油和天然气价格)以及美国 10 年期国债收益率之间的动态互动和溢出效应。我们使用时变参数向量自回归(TVP-VAR)模型来捕捉所研究关系的非线性和演变性质。研究结果表明,GPR 和 CPU 共同影响了所研究市场的波动性和关联性。虽然 GPR 有直接和更明显的影响,特别是对石油价格的影响,但 CPU 产生的影响更持久、更分散。此外,研究结果表明,石油价格(美国国债收益率)是向其他市场(从其他市场)传递冲击的主要发射器(接收器)。研究建议,决策者应考虑能源来源多样化和加强战略储备,以减轻这些不确定性的不利影响。此外,研究结果还支持加快向可再生能源过渡,因为可再生能源对地缘政治和政策相关干扰的敏感度较低,与全球应对气候变化的努力保持一致。
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来源期刊
CiteScore
21.30
自引率
10.80%
发文量
813
期刊介绍: Technological Forecasting and Social Change is a prominent platform for individuals engaged in the methodology and application of technological forecasting and future studies as planning tools, exploring the interconnectedness of social, environmental, and technological factors. In addition to serving as a key forum for these discussions, we offer numerous benefits for authors, including complimentary PDFs, a generous copyright policy, exclusive discounts on Elsevier publications, and more.
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