The impact of geopolitical risk on higher-order moment risk spillovers in global energy markets

IF 13.6 2区经济学 Q1 ECONOMICS

Energy Economics Pub Date : 2025-02-13 DOI:10.1016/j.eneco.2025.108292

Qichang Xie , Yanhao Bi , Yiyu Xi , Xin Xu

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引用次数: 0

Abstract

The impact of geopolitical risk on financial markets has been well-documented, yet there is limited research on higher-order moment risk spillovers in energy markets. This paper employs an extended joint TVP-VAR spillover index model to investigate the risk spillover effects and their dynamic evolution across global energy markets under the moments of volatility, skewness, and kurtosis. By constructing a GARCH-MIDAS-GPR model, we examine the impact of geopolitical risks on the higher-order moment risk connectivity of the energy system. Our findings reveal that: (1) energy markets across countries exhibit strong interconnections in terms of volatility, skewness, and kurtosis, while the spillover effects of skewness and kurtosis are lower than those of conditional variance; (2) higher-order moment risk spillovers exhibit significant time-varying characteristics, tending to substantially increase during periods of geopolitical crises; (3) the major countries in Europe and America act as net exporters of risk at various moment levels, and the Asia-Pacific countries are primarily net importers of risk; (4) the higher-order moment risk spillover indices significantly improve the predictive capabilities for energy market risks; (5) geopolitical risks are a significant factor exacerbating the spillover of higher-order moment risks in energy markets, with an even greater impact on risk spillover at the level of skewness. Our research contributes to a deeper understanding of the risk spillover effects of geopolitical risks on energy markets under higher-order moments, which is of great significance for investors to optimize their portfolios and for regulatory authorities to establish regulatory systems.

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来源期刊

Energy Economics ECONOMICS-

CiteScore

18.60

自引率

12.50%

发文量

524

期刊介绍： Energy Economics is a field journal that focuses on energy economics and energy finance. It covers various themes including the exploitation, conversion, and use of energy, markets for energy commodities and derivatives, regulation and taxation, forecasting, environment and climate, international trade, development, and monetary policy. The journal welcomes contributions that utilize diverse methods such as experiments, surveys, econometrics, decomposition, simulation models, equilibrium models, optimization models, and analytical models. It publishes a combination of papers employing different methods to explore a wide range of topics. The journal's replication policy encourages the submission of replication studies, wherein researchers reproduce and extend the key results of original studies while explaining any differences. Energy Economics is indexed and abstracted in several databases including Environmental Abstracts, Fuel and Energy Abstracts, Social Sciences Citation Index, GEOBASE, Social & Behavioral Sciences, Journal of Economic Literature, INSPEC, and more.