Volatility spillovers persist between energy and stock markets, significantly influenced by external uncertainties. Investigating the potential amplification of volatility spillovers among major global stock markets and international energy commodity markets, driven by geopolitical risks (GPR), economic policy uncertainty (EPU), and the Climate Risk Index (CRI), is of paramount importance. This study focuses on whether these uncertainties intensify the degree of volatility spillovers in macroeconomic upturns and downturns. Employing daily price data from January 2003 to August 2023 for the world’s ten stock markets and international energy markets, we utilize the Time-Varying Parameter Vector Autoregression with Stochastic Volatility (TVP-VAR-SV) model and the Dynamic Conditional Correlation Multivariate GARCH (DCC-MVGARCH) model to investigate dynamic volatility spillovers. Additionally, we apply the Dynamic Conditional Correlation - Mixed Data Sampling with Exogenous Variables (DCC-MIDAS-X) model to assess the impact of monthly GPR, CRI, and EPU on the volatility spillovers. The study finds that, while all three uncertainty factors—GPR, EPU, and CRI—significantly affect volatility spillovers overall, their impact is more pronounced during economic recession and growth. The influence of specific factors intensifies, while that of others diminishes, varying across distinct economic periods. Moreover, these uncertainties not only directly influence the volatility spillovers between major stock markets and specific energy commodity markets but also indirectly affect volatility spillovers across various international energy commodity markets.

中文翻译：

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地缘政治风险、经济政策不确定性和气候风险对跨经济周期的能源股票市场波动溢出效应的放大作用

受外部不确定性影响，能源市场和股市之间持续存在波动溢出效应。调查由地缘政治风险（GPR）、经济政策不确定性（EPU）和气候风险指数（CRI）驱动的全球主要股票市场和国际能源商品市场波动溢出效应的潜在放大程度至关重要。本研究重点关注这些不确定性是否会加剧宏观经济好转和低迷时的波动溢出程度。采用2003年1月至2023年8月全球十大股票市场和国际能源市场的每日价格数据，我们利用时变参数向量自回归与随机波动（TVP-VAR-SV）模型和动态条件相关多元GARCH（DCC） -MVGARCH）模型来研究动态波动溢出。此外，我们应用动态条件相关 - 外生变量混合数据采样 (DCC-MIDAS-X) 模型来评估每月 GPR、CRI 和 EPU 对波动溢出的影响。研究发现，虽然所有三个不确定性因素——GPR、EPU 和 CRI——总体上都会显着影响波动溢出效应，但它们的影响在经济衰退和增长期间更为明显。特定因素的影响会增强，而其他因素的影响会减弱，并且在不同的经济时期有所不同。此外，这些不确定性不仅直接影响主要股票市场和特定能源商品市场之间的波动溢出，还间接影响各个国际能源商品市场的波动溢出。