Asymmetric Volatility Spillovers Among Climate Policy Uncertainty, Fossil Energy and Clean Energy

This paper clarifies asymmetric two-way volatility spillovers linking climate policy uncertainty (CPU), segmented fossil energy markets, and clean energy (CE). Its core objective is to unpack heterogeneous risk transmission by separating market fluctuations into good volatility from positive returns and bad volatility from negative returns within a TVP-VAR-based DY spillover framework, then identify net spillover transmitters/receivers and regime shifts after the Paris Agreement. Empirical results show crude oil and CE function as net spillover contributors, while CPU, coal and natural gas are net recipients; cross-market spillover intensity driven by positive returns consistently exceeds that from negative price corrections. CPU exerts divergent price impacts: higher CPU suppresses crude oil and coal prices but lifts natural gas and CE valuations. Meanwhile, rising prices of high-carbon fossil fuels paired with slumping clean energy assets push CPU upward. Within the sample of major Paris Agreement signatory economies, the 2016 climate accord brought a measurable rise in CE’s spillover influence and tighter co-movement between fossil energy and CPU. These asymmetric, time-varying spillover patterns deliver targeted references for regulators to stabilize policy expectations and design differentiated low-carbon governance tools, as well as for investors to conduct cross-energy portfolio risk management.