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The amplifying role of geopolitical Risks, economic policy Uncertainty, and climate risks on Energy-Stock market volatility spillover across economic cycles

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  • Hu, Zinan
  • Borjigin, Sumuya

Abstract

Volatility spillovers persist between energy and stock markets, significantly influenced by external uncertainties. Investigating the potential amplification of volatility spillovers among major global stock markets and international energy commodity markets, driven by geopolitical risks (GPR), economic policy uncertainty (EPU), and the Climate Risk Index (CRI), is of paramount importance. This study focuses on whether these uncertainties intensify the degree of volatility spillovers in macroeconomic upturns and downturns. Employing daily price data from January 2003 to August 2023 for the world’s ten stock markets and international energy markets, we utilize the Time-Varying Parameter Vector Autoregression with Stochastic Volatility (TVP-VAR-SV) model and the Dynamic Conditional Correlation Multivariate GARCH (DCC-MVGARCH) model to investigate dynamic volatility spillovers. Additionally, we apply the Dynamic Conditional Correlation - Mixed Data Sampling with Exogenous Variables (DCC-MIDAS-X) model to assess the impact of monthly GPR, CRI, and EPU on the volatility spillovers. The study finds that, while all three uncertainty factors—GPR, EPU, and CRI—significantly affect volatility spillovers overall, their impact is more pronounced during economic recession and growth. The influence of specific factors intensifies, while that of others diminishes, varying across distinct economic periods. Moreover, these uncertainties not only directly influence the volatility spillovers between major stock markets and specific energy commodity markets but also indirectly affect volatility spillovers across various international energy commodity markets.

Suggested Citation

  • Hu, Zinan & Borjigin, Sumuya, 2024. "The amplifying role of geopolitical Risks, economic policy Uncertainty, and climate risks on Energy-Stock market volatility spillover across economic cycles," The North American Journal of Economics and Finance, Elsevier, vol. 71(C).
    • Handle: RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000391
    DOI: 10.1016/j.najef.2024.102114
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    Keywords

    Geopolitical risk; Economic policy uncertainty; Climate risk; Volatility spillover; Stock-energy markets;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G19 - Financial Economics - - General Financial Markets - - - Other
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • D85 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Network Formation
    • O13 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Agriculture; Natural Resources; Environment; Other Primary Products
    • P48 - Political Economy and Comparative Economic Systems - - Other Economic Systems - - - Legal Institutions; Property Rights; Natural Resources; Energy; Environment; Regional Studies
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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