Energy Transportation Uncertainty and Global Economic Activity: State-Dependent Evidence from Multivariate Quantile-on-Quantile Regressions

This study examines whether energy transportation uncertainty (ETU) contains state-dependent information about global economic activity. Using monthly data, world industrial production (WIP) is treated as the primary activity measure and the Global Economic Conditions (GECON) indicator as an alternative outcome. The empirical design employs multivariate quantile-on-quantile regression (m-QQR), which maps the response of each conditional quantile of economic activity to each quantile of ETU while accounting for persistence and, where conceptually appropriate, broader risk and financial conditions. WIP growth is modeled with lagged geopolitical risk (GPR), whereas the preferred GECON specification excludes GPR because geopolitical-risk information already enters the information set used to construct GECON. The final 0.05-0.95 quantile grid yields 361 state combinations per outcome. Local estimates reveal economically meaningful heterogeneity and a predominantly negative orientation in several middle and upper WIP states; the mean ETU coefficient is -0.0019 for WIP growth and -0.0009 for GECON. Twenty-four WIP cells and twenty-six GECON cells are significant at conventional pointwise levels. However, none survives false-discovery-rate adjustment or dependence-preserving moving-block-bootstrap inference. Financial-condition controls change local surfaces but do not overturn this central conclusion. Out-of-sample WIP forecasts likewise show no statistically significant average accuracy gain from ETU, although quantile loss and scenario exercises indicate modest state-specific information, with high-ETU scenarios associated with lower conditional median WIP growth. The evidence therefore rejects a universal ETU effect in favor of a more disciplined interpretation: ETU contains local, regime-dependent economic information whose statistical strength is substantially attenuated once broader geopolitical risk, multiplicity, and serial dependence are treated rigorously.