This paper explores the link between geopolitical risks and energy prices crash risk. Studying energy price crashes is important given the sharp fall in oil prices in 2008 and 2014. The analysis focuses on three energy markets: natural gas, oil, and coal, while it employs two measures: the negative coefficient of skewness and the down-to-up volatility, to construct proxies for crash risks. The period of examination is January 2000 to December 2023, whereas that for coal is January 2010 to December 2023. The study employs a modified version of the smooth transition autoregressive model. The results show that, within the modelling framework, coal and oil crash risks are driven by the cyclical behavior of geopolitical acts, whereas natural gas crash risks by geopolitical threats. Causality tests confirm the prediction that geopolitical tensions cause crash risks in energy markets. The results also confirm that the “Economic Activity Channel” is only valid for energy markets driven by geopolitical threats. Energy market regulators should be concerned about crash risks, given that the energy supply shows cyclical boom and bust cycles in prices and production. Crash risks could also potentially cause a fall in investments required to enhance energy efficiency.

中文翻译：

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地缘政治风险和能源价格崩盘风险


本文探讨了地缘政治风险与能源价格崩盘风险之间的联系。鉴于 2008 年和 2014 年油价大幅下跌，研究能源价格暴跌非常重要。该分析侧重于三个能源市场：天然气、石油和煤炭，同时采用两种衡量标准：负偏度系数和自下而上的波动率，来构建崩盘风险的代理。审查时间为 2000 年 1 月至 2023 年 12 月，而煤炭的审查时间为 2010 年 1 月至 2023 年 12 月。该研究采用了平滑过渡自回归模型的修改版本。结果表明，在建模框架内，煤炭和石油崩盘风险是由地缘政治行为的周期性行为驱动的，而天然气崩盘风险是由地缘政治威胁驱动的。因果关系检验证实了地缘政治紧张局势导致能源市场崩溃风险的预测。结果还证实，“经济活动通道”仅对受地缘政治威胁驱动的能源市场有效。鉴于能源供应在价格和生产方面呈现周期性繁荣和萧条周期，能源市场监管机构应该关注崩盘风险。碰撞风险还可能导致提高能源效率所需的投资减少。