Differential Spillovers from Trade Policy and Energy Transport Uncertainty in Clean and Fossil Fuel Energy Markets

This study examines dynamic connectedness across global energy market equities, trade policy and energy transport uncertainty. We apply a time-varying parameter vector autoregressive connectedness framework and utilise monthly data from January 2004 to December 2025. Energy equities are measured using the S&P Global Clean Energy Transition Index and the S&P Global Oil Index. Results show that total connectedness declines over the period, with temporary increases during the 2018–2019 US–China trade war and the 2025 tariff increases. Pairwise connectedness between clean and fossil energy equities falls from about 70% to 18%, indicating gradual decoupling. The strongest pairwise links are between the two energy markets and between the two uncertainty indices, which form separate clusters. Energy transport uncertainty is the primary net transmitter in the system for most of the period. This shock-transmission structure reversed in 2025. Trade policy uncertainty becomes the largest net transmitter in the system and energy transport uncertainty becomes a net receiver of shocks. These two sources of uncertainty have different time-varying net shock transmissions to the energy market. In a robustness check with a 24-month horizon and log-transformed uncertainty indices, trade policy uncertainty is the largest net transmitter. Treating these uncertainties as a single source may misrepresent risk spillovers during episodes of trade policy stress.