Based on the TVP-VAR-DY model,this paper selects eight domestic and foreign uncertainty indicators and three international energy commodity price indices to analyse,and obtains the following conclusions and recommendations:first,energy uncertainty,global economic policy uncertainty and climate policy uncertainty have obvious spillover effects on the energy market;second,the price volatility of crude oil influences the price volatility of the whole energy market,and also influences the rise of other rising uncertainties;third,crude oil price volatility was more affected by the impact of the financial crisis in 2007-2009,power coal price volatility was more affected by the rising geopolitical risks in China and the signing of the Paris Agreement in 2014-2016,and natural gas price volatility was more affected by the occurrence of the COVID-19 and the Russia-Ukraine Conflict in 2020-2022;and fourth,the frequency of the different volatility spillover network characteristics differ.Based on the above empirical findings,this paper provides useful insights for coping with energy price volatility risks.
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