Multilayer connectedness across geopolitical risks, clean, and dirty energy markets: The role of global uncertainty factors and climate surprise
研究了地缘政治事件、威胁与清洁及污染能源市场之间的多层关联性和溢出效应，发现地热、太阳能等是主要传染源，而生物燃料等是净接收者，且关联性在地缘政治危机期间增强。
Geopolitical risks and energy markets have always been deeply connected. This relationship is complex and heterogeneous, including high extreme geopolitical shocks periods like the COVID-19 and the Russia-Ukraine conflict. Therefore, this paper aims to examinate the interconnectedness and spillover effects between geopolitical events, geopolitical threats, and both clean and dirty energy commodity markets. To achieve this objective, we employ the multilayer analysis and the decomposed R-squared connectedness approach. Additionally, to explore the dominant roles of global economic and financial market uncertainty factors and climate surprises, we use the Wavelet Local Multiple Correlation method. Empirical findings reveal a moderate level of interconnectedness between geopolitical events, risks, and energy markets, with contemporaneous spillover playing a more significant role than lagged connectedness. Moreover, geothermal, solar, gasoline, WTI oil, and heating oil are primary drivers of contagion, while biofuel, fuel cell, wind, natural gas, gasoil, GPR act, and GPR threat are net receivers, with these roles changing over time in response to various economic and extreme geopolitical factors. These findings offer valuable suggestions to market players, policymakers, governments and energy sectors in terms of investments and risks management, who must be aware that interconnectedness increases during high extreme geopolitical crises and instabilities, leading to greater spillover effects among not only energy markets, but also further afield in commodity markets, economies and financial systems. • This paper examines interconnectedness between geopolitical threats, and both clean and dirty energy markets. • The paper also explores the roles of global economic and financial market uncertainty factors and climate surprises. • Findings reveal a moderate level of interconnectedness between geopolitical risks, and energy markets. • The contemporaneous spillovers playing a more significant role than lagged connectedness. • Geothermal, Solar, Gasoline, WTI Oil, and Heating Oil are primary drivers of contagion.