Dynamic spillovers among policy uncertainty, financial markets and energy markets in developed and emerging economies Academic Article in Scopus uri icon

abstract

  • Economic and climate policy uncertainty have become key sources of volatility in global financial and energy markets, especially given recent global disruptions. This heightened uncertainty significantly influences investment decisions, asset valuation, risk pricing, and capital flows and has pronounced effects on energy-intensive sectors. This paper examines the dynamic interrelationships between economic and climate policy uncertainty and developed and emerging economies¿ financial and energy stock markets. This study uses the time-frequency connectedness methodology introduced by Baruník and K¿ehlík (in J Financ Econom 16(2):271¿296, 2018) to quantify the evolution of return and volatility spillovers across multiple time horizons. Our empirical analysis shows that return connectedness is predominantly concentrated at shorter time scales, indicating that shocks are transmitted rapidly among markets. In contrast, volatility connectedness is more pronounced at longer horizons, reflecting the enduring influence of uncertainty on market stability. Furthermore, the results indicate that emerging markets have significantly higher levels of connectedness during heightened turbulence, suggesting greater susceptibility to external shocks. Our findings have important implications for investors seeking to manage risk and policymakers aiming to enhance financial market resilience. © The Author(s), under exclusive licence to Springer Science+Business Media, LLC, part of Springer Nature 2025.

publication date

  • February 1, 2026