The impact of uncertainties on contagions in energy market risk networks: Evidence from synthesizing multiple-order moments and multiple time horizons

This study examines the impact of multiple uncertainties from financial and macroeconomics fields on China's energy market contagions. Since multiple time horizons and higher-order moments uncover more hidden information, we abstract such information for finer observation and synthesize them for a sounder examination. The synthesis moment contagion network of the energy market that incorporates multiple-order moments is constructed across multiple time horizons, and the impact of uncertainty indices from 18 financial and macroeconomic subsystems on synthesis networks across various time horizons is explored from holistic and dynamical perspectives. The main findings are as follows: the contagion in China's energy market is driven by the second-order moment (volatility) in the short term, while in the long term it is primarily influenced by the third- and fourth-order moments (skewness and kurtosis). Considering the impact of uncertainties on Chinese energy synthesis contagion network across multiple time scales, it is most pronounced in the medium-term time horizon, dominated by the interbank, deposit and loan subsystems, while the influence gradually diminishes in the long-term time horizon. Our study provides evidence for considering the importance of higher-order moment contagions in energy markets and the heterogeneity of the effects of uncertainties in different subsystems on energy markets.