Geopolitical risk, as a key determinant of energy supply, greatly influences the vulnerability of energy markets. This study develops a novel energy market vulnerability index—which measures the level and dynamics in vulnerability of energy markets from market risk perspective—using a quantile connectedness approach for the first time. Then, by introducing a generalized autoregressive conditional heteroskedasticity–mixed-data sampling (GARCH-MIDAS) model, we explore the impact and predictive role of geopolitical risk on the vulnerability of energy markets. We find that the vulnerability of energy markets showed an upward trend and fluctuated considerably during 2007–2024. Moreover, geopolitical risk positively affects the vulnerability of energy markets. Finally, the vulnerability of energy markets can be forecasted better by the predictor, geopolitical risk. Our results offer useful insights for investors and policy-makers in the energy markets.

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能源市场的地缘政治风险和脆弱性


地缘政治风险作为能源供应的关键决定因素，极大地影响了能源市场的脆弱性。本研究开发了一种新的能源市场脆弱性指数——从市场风险的角度衡量能源市场脆弱性的水平和动态——首次使用分位数连通性方法。然后，通过引入广义自回归条件异方差-混合数据采样 （GARCH-MIDAS） 模型，我们探讨了地缘政治风险对能源市场脆弱性的影响和预测作用。我们发现，能源市场的脆弱性在 2007-2024 年期间呈上升趋势并大幅波动。此外，地缘政治风险对能源市场的脆弱性产生积极影响。最后，可以通过预测因素地缘政治风险更好地预测能源市场的脆弱性。我们的结果为能源市场的投资者和政策制定者提供了有用的见解。