The functioning of energy markets is essential for global stability and is heavily influenced by geopolitical risks. Understanding these risks is critical for policymakers, market analysts, and nations. This study investigates the impact of geopolitical risks and their components on the futures markets of WTI crude oil and natural gas, utilizing time and frequency connectedness analysis along with impulse response function methods. The analysis is based on a dataset comprising daily prices of spot and futures contracts (across various maturities) as well as treasury yields. Our findings reveal that geopolitical risks have a significant, negative impact on the interest-adjusted spread of WTI crude oil. In contrast, the interest-adjusted spread of natural gas futures (NGF) displays a more complex pattern: while short-term maturities show an insignificant response, long-term maturities exhibit a significant reaction. Spillover effects are more pronounced in the short term but tend to weaken over longer horizons. This study underscores the dynamic influence of geopolitical risks on both key energy markets. Its findings offer a practical framework for risk management, equipping market participants and policymakers with valuable insights to better understand and respond to geopolitical risks in the energy sector.

中文翻译：

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地缘政治风险的时间动态：能源商品利率调整后利差的实证研究


能源市场的运作对全球稳定至关重要，并受到地缘政治风险的严重影响。了解这些风险对于政策制定者、市场分析师和国家都至关重要。本研究利用时间和频率连通性分析以及脉冲响应函数方法，调查了地缘政治风险及其组成部分对 WTI 原油和天然气期货市场的影响。该分析基于一个数据集，该数据集包括现货和期货合约（不同期限）的每日价格以及美国国债收益率。我们的研究结果表明，地缘政治风险对 WTI 原油的利率调整后价差具有重大的负面影响。相比之下，天然气期货 （NGF） 的利率调整后利差显示出更复杂的模式：短期到期日表现出微不足道的反应，而长期到期日则表现出显著的反应。溢出效应在短期内更为明显，但随着时间的推移往往会减弱。本研究强调了地缘政治风险对两个主要能源市场的动态影响。其研究结果为风险管理提供了一个实用的框架，为市场参与者和政策制定者提供了宝贵的见解，以更好地理解和应对能源行业的地缘政治风险。