Cross-category spillovers of uncertainties in energy transition: Insights from a full-distributional framework

The ongoing escalation of downward pressure amid the tortuous transition toward energy sustainability has ignited public concerns about various uncertainties and their cross-category spillovers in the economic system. Resting upon a full-distributional framework, this paper studies the information spillover between multiple uncertainties related to the energy transition and its association with economic and policy related environments in different market conditions. The spillover is quantified in the forms of the static uncertainty spillover, the time-varying uncertainty evolution, and the network uncertainty connectedness, respectively. Our results show that uncertainty spillovers evolve depending on market conditions with the extent of the overall connectedness being stronger when uncertainty levels are extremely high. The connectedness in uncertainty spillovers demonstrates time-varying features and is prone to shocks to external events. The role of each uncertainty in driving the spillover is shown to switch between information receivers and givers across market conditions over time. Moreover, the directional spillover network of uncertainty shows evident heterogeneities in structural characteristics, contagion direction, spillover intensity, and uncertainty centres in different market conditions. Our findings enhance the comprehension of uncertainty spillovers in energy transition, contributing to effective risk prevention toward sustainability.