Policy uncertainty and tail risk in energy futures: The role of maturity and storage capacity constraints
研究了1994至2024年间美国能源期货市场中，经济政策不确定性如何影响不同到期日合约的极端下行风险，发现原油和天然气存在到期日依赖的溢出效应，且存储容量约束会加剧对长期合约的溢出。
Abstract We examine how categorical economic policy uncertainty (EPU) is linked to extreme downside risk in U.S. energy futures markets across contract maturities. Using data from 1994 to 2024, we document maturity‐dependent spillovers between EPU indices and Value‐at‐Risk (VaR) for crude oil and natural gas. Crude oil VaR exhibits increasing connectedness with maturity, while natural gas shows a flatter pattern. The composition of policy‐driven spillovers also varies across maturities and time. Storage capacity constraints, which may hinder carry arbitrage, intensify spillovers to longer‐term contracts, especially in the oil market. This highlights the role of physical market friction in policy risk transmission.