Global Conventional and Clean Energy Spillovers, Uncertainty, and Local Markets: Evidence from Leading Oil-Exporting and Oil-Importing Countries

Vollständiger Abstract

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This paper employs the Quantile VAR(QVAR) spillover approach to explore the spillover connectedness between global clean and dirty energy with local energy indices of the largest oil exporting and importing states, namely KSA, Canada, the US, Russia, China, and India. The study reports robust connectedness in the case of both clean and dirty energy; that is, 96.20% at the bearish quantile, 82.71% at the middle quantile, and 96.83% at the bullish quantile in the case of the clean energy index. Similarly, for dirty energy, we found 96.24% at the bearish quantile, 82.07% at the middle quantile, and 96.98% at the higher quantile. The GPRD and the energy sectors of Saudi Arabia, China, India, and the United States are net recipients of spillover effects, whereas the clean, dirty, global, and Canadian energy indices serve as net transmitters. OVX and Russian energy have a dual function, alternating between transmission and reception over quantiles. Moreover, in the median quantile of the clean energy framework, the Canadian and Russian energy sectors had the lowest net transmission rates (4.64% and 2.73%, respectively), whereas clean energy (44.34%) and global energy (43.5%) revealed the most significant spillover impacts. From an investor's viewpoint, the energy sectors in the US and India have the weakest spillover effects at the median quantile, hence adding minimally to systemic risk. Regulators should oversee clean and global energy markets as prelude to potential issues and implement green transition policies incrementally, given that disturbances in these markets affect the entire system, while the weakly transmitting Canadian and Russian energy sectors present less risk of contagion.