Time-Varying Impacts of Financial Stress on Energy-Related Uncertainty
Nurbek KhodjaniyazovSchool of Management, Zhejiang University of Technology, Hangzhou City, Zhejiang Province, ChinaMokhirakhon MirkhoshimovaDepartment of Cluster Development, Center for Economic Research and Reforms, Tashkent, UzbekistanFeruz KalandarovDepartment of Tourism, Urgench State University, Urgench, UzbekistanDilfuza MatyokubovaDepartment of Economics, Urgench State University, Urgench, UzbekistanSarbinaz UtegenovaDepartment of Accounting and audit, Karakalpak state university, Nukus, UzbekistanSamariddin MakhmudovFaculty of Finance and Tourism, Termez University of Economics and Service, Termez, Uzbekistan; & Faculty of Economics and Humanities, Mamun University, Khiva, 220900, Uzbekistan; & Alfraganus University, Tashkent, UzbekistanMansurbek KhudayberganovDepartment of Economics, Urgench State University, Urgench, Uzbekistan
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In literature, studies address the relationship between financial and energy markets. In this context, there are a lot of works which examine the impact of financial markets on energy markets. However, there are not any research undertaken to explore the effect of financial stress index (FSI) on energy-related uncertainty index (EUI). Therefore, this work assesses this relation in the case of US with time-varying parameter vector autoregression (TVP-VAR) model, using monthly data from Quarter 1 1996 to Quarter 3 2022 in the United States (US). The findings reveal that time-varying impacts of FSI on EUI is positive and significant, validating theoretical linkage.
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