Energy Transportation Uncertainty and Global Risk Spreads: Evidence From The TVP-VAR Model

Abstract

This study investigates the dynamic spillover effects among energy transportation uncertainty (ETU), geopolitical risk (GPR), global uncertainty (WUI), freight markets, energy prices and financial market volatility within a time-varying parameter VAR (TVP-VAR) framework. ETU is constructed as a news-based index that captures uncertainty related to energy transportation and logistics, representing a sector-specific risk channel distinct from broader uncertainty measures such as GPR and WUI. Using monthly data for the period 2008:01–2025:11, the time-series properties of the variables are examined prior to estimation, and the BDI is retained in levels to preserve its economic interpretation and the long-term information embedded in global freight market conditions. The empirical results reveal a moderate but time-varying connectedness structure, with spillover effects intensifying during periods of global stress such as the global financial crisis and the COVID-19 pandemic. Directional connectedness findings indicate that ETU becomes a net transmitter of shocks in the post-pandemic period, particularly influencing freight markets and energy prices, while financial volatility generally acts as a net receiver. These findings underscore the importance of sector-specific uncertainty channels in shaping macro-financial dynamics and provide implications for energy security and risk management policies.