Time-Varying Impacts of Financial Stress on Energy-Related Uncertainty

Nurbek Khodjaniyazov (), Mokhirakhon Mirkhoshimova (), Feruz Kalandarov (), Dilfuza Matyokubova (), Sarbinaz Utegenova (), Samariddin Makhmudov () and Mansurbek Khudayberganov ()
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Nurbek Khodjaniyazov: School of Management, Zhejiang University of Technology, Hangzhou City, Zhejiang Province, China
Mokhirakhon Mirkhoshimova: Department of Cluster Development, Center for Economic Research and Reforms, Tashkent, Uzbekistan
Feruz Kalandarov: Department of Tourism, Urgench State University, Urgench, Uzbekistan
Dilfuza Matyokubova: Department of Economics, Urgench State University, Urgench, Uzbekistan
Sarbinaz Utegenova: Department of Accounting and audit, Karakalpak state university, Nukus, Uzbekistan
Samariddin Makhmudov: Faculty of Finance and Tourism, Termez University of Economics and Service, Termez, Uzbekistan; & Faculty of Economics and Humanities, Mamun University, Khiva, 220900, Uzbekistan; & Alfraganus University, Tashkent, Uzbekistan
Mansurbek Khudayberganov: Department of Economics, Urgench State University, Urgench, Uzbekistan

International Journal of Energy Economics and Policy, 2025, vol. 15, issue 3, 689-698

Abstract: In literature, studies address the relationship between financial and energy markets. In this context, there are a lot of works which examine the impact of financial markets on energy markets. However, there are not any research undertaken to explore the effect of financial stress index (FSI) on energy-related uncertainty index (EUI). Therefore, this work assesses this relation in the case of US with time-varying parameter vector autoregression (TVP-VAR) model, using monthly data from Quarter 1 1996 to Quarter 3 2022 in the United States (US). The findings reveal that time-varying impacts of FSI on EUI is positive and significant, validating theoretical linkage.

Keywords: Financial Stress Index; Energy-Related Uncertainty Index; Time-Varying Parameter Vector Autoregression (search for similar items in EconPapers)
Date: 2025
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DOI: 10.32479/ijeep.19762

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