Geopolitical risk,climate risk and energy markets: A dynamic spillover analysis |
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| Affiliation: | 1. School of Business, Macau University of Science and Technology, China;2. School of Finance, Central University of Finance and Economics, China;3. School of Finance, Tianjin University of Finance and Economics, China;4. Research Institute of Economics and Management, Southwestern University of Finance and Economics, China;1. College of Economics, Shenzhen University, 3688 Nanhai Avenue, Nanshan District, Shenzhen, Guangdong 518060, PR China;2. Graduate School of Economics, Kobe University, 2-1, Rokkodai, Nada-Ku, Kobe 657-8501, Japan;1. Department of Economics and Finance, Sunway Business School, Sunway University, Subang Jaya, Malaysia;2. Accounting and Finance Department, United Arab Emirates University, Al-Ain, P.O. Box 15551, United Arab Emirates;3. Department of Economics and Social Sciences, Brac University, Dhaka, Bangladesh;4. Trinity Business School, Trinity College Dublin, Ireland;5. University of Economics Ho Chi Minh City, Ho Chi Minh City, Vietnam;6. Jiangxi University of Finance and Economics, China;7. Distinguished Professor, Abu Dhabi University, United Arab Emirates;1. Institutes of Science and Development, Chinese Academy of Sciences, Beijing, China;2. School of Management, University of Bradford, Bradford, United Kingdom;3. Department of Economics and Finance, The Hang Seng University of Hong Kong, Hong Kong, China;4. Department of Humanities and Social Sciences, Indian Institute of Technology Kharagpur, Midnapur, West Bengal, India;5. ICN Business School, CEREFIGE, Université de Lorraine, Nancy, France;6. Faculty of Political Sciences, Istanbul Medeniyet University, Istanbul, Turkiye;7. Adnan Kassar School of Business, Lebanese American University, Beirut, Lebanon |
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| Abstract: | This paper provides evidence on the dynamic spillover among geopolitical risk, climate risk, and energy markets from an international perspective. Based on data from 13 countries between December 2002 and February 2022, we firstly confirm an overall connectedness among energy future prices, i.e., crude oil, heating oil and natural gas, with geopolitical risk and climate risk. And then, the dynamic analysis indicates that the spillover effect is frequency dependent and more pronounced at a high frequency. Furthermore, the net dynamic spillover results show that the two major shocks of geopolitical risk associated with Russia on energy markets appear in 2014 and 2022. These effects are also more pronounced at a high frequency, indicating that the conflicts can impose an immediate effect on energy markets. The significant connectedness among energy, geopolitical risk and climate risk remains unchanged after accounting for public attention, adding control variables and using the alternative measures of geopolitical risk and climate risk. |
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