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Keywords = LASSO-VAR-DY

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27 pages, 10437 KB  
Article
China’s Energy Risk Spillover Networks Under Major Events and External Uncertainty Shocks: An Analysis Based on LASSO-VAR-DY and TVP-SV-VAR Models
by Tao Xu, Lei Wang, Tingqiang Chen and Xin Zheng
Systems 2025, 13(11), 1037; https://doi.org/10.3390/systems13111037 - 19 Nov 2025
Cited by 1 | Viewed by 1926
Abstract
Major events and external uncertainty shocks have made energy risk connectedness increasingly complex. This paper applies a LASSO-regularized VAR combined with the Diebold-Yilmaz connectedness framework (LASSO-VAR-DY) to trace how China’s energy risk spillover effects evolve under major event shocks and to quantify sectoral [...] Read more.
Major events and external uncertainty shocks have made energy risk connectedness increasingly complex. This paper applies a LASSO-regularized VAR combined with the Diebold-Yilmaz connectedness framework (LASSO-VAR-DY) to trace how China’s energy risk spillover effects evolve under major event shocks and to quantify sectoral risk spillover inflows. We then employ a TVP-SV-VAR model to further examine the impulse responses of energy sectors to external uncertainties. The results show that the energy system exhibits a high overall level of risk connectedness with pronounced stage-wise variation and is sensitive to different external uncertainty shocks. Major-event shocks intensify sector-level risk connectedness—the clean-energy sector consistently acts as a net risk receiver. In contrast, other sectors switch between net transmitters and net receivers across shocks. Different major events operate through heterogeneous mechanisms—the COVID-19 pandemic and the official launch of the national carbon market primarily strengthen node-to-node connectedness. In contrast, the Russia-Ukraine conflict chiefly amplifies spillover intensity between nodes. The effects of uncertainty index shocks differ markedly: economic policy uncertainty (EPU) has the most substantial impact, followed by climate policy uncertainty (CPU), while geopolitical risk (GPR) is the weakest. Full article
(This article belongs to the Section Systems Practice in Social Science)
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