Geopolitical risk, climate risk and energy markets: A dynamic spillover analysis

Yi Jin, Hang Zhao, Lin Bu and Dayong Zhang

International Review of Financial Analysis, 2023, vol. 87, issue C

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.

Keywords: Geopolitical risk; Climate risk; Energy markets; Spillover; Frequency analysis (search for similar items in EconPapers)
JEL-codes: P48 Q40 Q54 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (34)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001138

DOI: 10.1016/j.irfa.2023.102597

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