The dependence structures between geopolitical risks and energy prices: New evidence from regional heterogeneity and quantile-on-quantile perspective

We construct GPR indices for six major regions and select three categories of energy markets. Utilizing a quantile-on-quantile connectedness approach and impulse response analysis, we investigate the changing patterns of connectedness between these variables under different levels of GPRs and various energy market conditions. Furthermore, we explore the intensity, direction, and duration of GPRs impacts on energy markets. Our findings reveal that the total connectedness tends to be minimal at intermediate quantiles (50 %)—approximately 20%—increasing significantly toward both higher (95 %) and lower quantiles (5 %), with an enhancement of approximately 125 %–250 %. The maximum total connectedness between GPRs and Oil, Coal, and Gas is 87.2 %, 90.9 %, and 86.5 %, respectively. Connectedness during periods of extremely high GPRs percentile (95 %) is 30 % greater compared to low quantiles (5 %). The impact of GPRs on Oil typically lasts about 3–5 months, with a shorter duration of around 3 months for Gas and a longer duration of approximately 5 months for Coal, which can be prolonged by major events. Our conclusions underscore the importance for policymakers and traders to monitor the evolving patterns of connectedness between GPRs and energy markets under changing conditions, ensuring comprehensive risk awareness and robust trading decisions.