In this paper, we investigate the transmission mechanisms of the impacts of geopolitical risk on energy (crude oil, natural gas, heating oil) returns and volatility from June 28, 1990, to January 6, 2020, by using a quantile regression model. The results show that under the supply and demand channel, geopolitical risk increases energy returns and decreases energy volatility in different market conditions. Under the uncertainty channel, geopolitical risk increases or decreases energy returns in various market conditions through economic policy uncertainty and market uncertainty and reduces energy volatility. Under the financial market channel, geopolitical risk reduces natural gas returns through the interest rate, decreases energy returns through the exchange rate and raises energy returns through gold in different market conditions. For energy volatility, geopolitical risk increases natural gas volatility through the interest rate and reduces energy volatility through the exchange rate across market conditions, while gold has little transmission effect. Our findings can help policymakers formulate corresponding policies to hedge against the adverse effects of geopolitical risk and maintain the stability of the energy market.

中文翻译：

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地缘政治风险对能源回报和波动影响的传导机制


本文利用分位数回归模型研究了1990年6月28日至2020年1月6日期间地缘政治风险对能源（原油、天然气、取暖油）回报和波动影响的传导机制。结果表明，在供需渠道下，地缘政治风险会增加不同市场条件下的能源回报并降低能源波动性。在不确定性通道下，地缘政治风险通过经济政策不确定性和市场不确定性，增加或减少各种市场条件下的能源回报，降低能源波动性。在金融市场渠道下，地缘政治风险在不同的市场条件下通过利率降低天然气收益，通过汇率降低能源收益，通过黄金提高能源收益。对于能源波动性而言，地缘政治风险通过利率增加了天然气波动性，并通过跨市场条件的汇率降低了能源波动性，而黄金的传导效应很小。我们的研究结果可以帮助政策制定者制定相应的政策，以对冲地缘政治风险的不利影响，维护能源市场的稳定。