 Partisan conflict, trade policy uncertainty, and the energy marketCai Yang, Hongwei Zhang, Yun Qin and Zibo Niu Research in International Business and Finance, 2024, vol. 71, issue C Abstract: This paper investigates the time-varying effects of partisan conflict (PC) and trade policy uncertainty (TPU) on the energy market from January 2000 to July 2021 by employing a time-varying parameter vector autoregressive model with stochastic volatility. The results show that the pass-through effects of the PC and TPU shocks on energy return and volatility varied over time and are different across energy sub-sectors. PC and TPU had a greater impact on energy market return in the short-term, whereas the impact on energy market volatility was spread across relatively long periods. Generally, the impact of TPU on energy return and volatility was greater than that of PC at different lag periods and different points. Further, under different energy frameworks, the trend of the time-varying relationship between PC and TPU was roughly the same, indicating the robustness of our results. Keywords: Partisan conflict; Trade policy uncertainty; Energy market dynamics; TVP-VAR model with stochastic volatility (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002435 DOI: 10.1016/j.ribaf.2024.102450 Access Statistics for this article Research in International Business and Finance is currently edited by T. Lagoarde Segot More articles in Research in International Business and Finance from Elsevier |
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