Spillover effects of geopolitical risks on global energy markets: Evidence from CoVaR and CAViaR-EGARCH model

IF 1.9 4区工程技术 Q4 ENERGY & FUELS

Energy Exploration & Exploitation Pub Date : 2023-10-03 DOI:10.1177/01445987231196617

Yu Zhao, Linbo Chen, Yu Zhang

引用次数: 0

Abstract

This study investigated the spillover effects of geopolitical risks on energy (crude oil, coal and natural gas) markets. The empirical evidence is based on the CoVaR index and the CAViaR-EGARCH model. Results demonstrate that the spillover effects of geopolitical risks on the global energy market are nonlinear, asymmetric and time-varying. With each 1% rise in global geopolitical risks, the left tail risks in the crude oil, coal, and natural gas markets decreased by 0.179%, 0.119% and 0.113%, while the right tail risks increased by 0.144%, 0.135% and 0.097%, respectively. In addition, the magnitude of energy crises triggered by different geopolitical events varies. Lastly, the spillover effects of GPR on energy markets vary considerably across nations, with more substantial effects observed on average in BRICS than in G7 countries. The primary implication is to provide references for government and energy investors to avoid energy market risks timely.

查看原文本刊更多论文

地缘政治风险对全球能源市场的溢出效应:来自CoVaR和CAViaR-EGARCH模型的证据

本研究考察了地缘政治风险对能源(原油、煤炭和天然气)市场的溢出效应。实证基于CoVaR指数和CAViaR-EGARCH模型。结果表明，地缘政治风险对全球能源市场的溢出效应是非线性、不对称和时变的。全球地缘政治风险每上升1%，原油、煤炭和天然气市场的左尾部风险分别下降0.179%、0.119%和0.113%，右尾部风险分别上升0.144%、0.135%和0.097%。此外，不同地缘政治事件引发的能源危机程度也不尽相同。最后，探地雷达对能源市场的溢出效应因国而异，平均而言，金砖国家比七国集团国家的影响更大。其主要含义是为政府和能源投资者及时规避能源市场风险提供参考。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Energy Exploration & Exploitation 工程技术-能源与燃料

CiteScore

5.40

自引率

3.70%

发文量

审稿时长

3.9 months

期刊介绍： Energy Exploration & Exploitation is a peer-reviewed, open access journal that provides up-to-date, informative reviews and original articles on important issues in the exploration, exploitation, use and economics of the world’s energy resources.