Iranian Energy Economics

Dynamic interaction analysis of economic policy uncertainty and energy commodities market: time-varying granger causality

Articles in Press

Document Type : Research Paper

Authors

Ghazaleh Khanzadeh Kanzagh 1
Saiab Mamipoor 2
Mahdi Ghaemi asl 2
Hossein Hafezi 3

1 Master's Degree in Energy Economics, Faculty of Economics, Kharazmi University, Tehran, Iran

2 associate Professor, Faculty of Economics, Kharazmi University, Tehran, Iran

3 PHD candidate in energy economics, Kharazmi University, Tehran, Iran

https://doi.org/10.22054/jiee.2025.84855.2140
Abstract
Economic uncertainty influences key economic variables, particularly energy commodity prices, leading to volatility and economic instability. Each energy commodity has unique characteristics affecting its price behavior. This study examines the dynamic relationship between global economic policy uncertainty (GEPU) and energy commodity prices using the LA-VAR model.

Findings indicate that the impact of GEPU on Brent oil, natural gas, and coal prices varies based on the nature of crises and the level of uncertainty. Before the 2008 financial crisis, GEPU significantly influenced oil price changes, but this relationship weakened or reversed afterward. Additionally, price fluctuations in energy commodities contributed to increases in GEPU, particularly during the 2008 crisis and the COVID-19 pandemic—periods when energy prices reached extreme highs and lows.

The study identifies a causal link between energy commodity prices and GEPU during the 2008 financial crisis, while during the COVID-19 pandemic, this link was specifically between Brent crude oil prices and GEPU. These findings suggest that sudden energy price fluctuations, especially in times of crisis, contribute to increased global economic policy uncertainty. Moreover, price increases in energy commodities have a stronger impact on GEPU than price decreases.

Keywords

economic policy uncertainty
energy commodities
time-varying granger causality
Subjects
Iranian Energy Economics

Articles in Press, Accepted Manuscript
Available Online from 08 October 2025

  • Receive Date 08 April 2025
  • Revise Date 06 October 2025
  • Accept Date 08 October 2025
  • First Publish Date 08 October 2025
  • Publish Date 08 October 2025

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