Time-varying effects of crude oil and natural gas price shocks on Russia’s financial markets: The roles of financial stress and economic policy uncertainty channels

Time-varying effects of crude oil and natural gas price shocks on Russia’s financial markets: The roles of financial stress and economic policy uncertainty channels | Research Square window.SnipcartSettings = { analytics: { enabled: false } }; (function() { var accessVector = localStorage.getItem('access_vector') || ''; window.dataLayer = window.dataLayer || []; if (accessVector) { window.dataLayer.push({ user: { profile: { profileInfo: { snid: accessVector } } } }); } })(); (function(w,d,s,l,i){w[l]=w[l]||[];w[l].push({'gtm.start':new Date().getTime(),event:'gtm.js'});var f=d.getElementsByTagName(s)[0],j=d.createElement(s),dl=l!='dataLayer'?'&l='+l:'';j.async=true;j.src='https://www.googletagmanager.com/gtm.js?id='+i+dl;f.parentNode.insertBefore(j,f);})(window,document,'script','dataLayer','GTM-K279D39R'); Browse Preprints In Review Journals COVID-19 Preprints AJE Video Bytes Research Tools Research Promotion AJE Professional Editing AJE Rubriq About Preprint Platform In Review Editorial Policies Our Team Advisory Board Help Center Sign In Submit a Preprint Cite Share Download PDF Research Article Time-varying effects of crude oil and natural gas price shocks on Russia’s financial markets: The roles of financial stress and economic policy uncertainty channels Jassim Aladwani This is a preprint; it has not been peer reviewed by a journal. https://doi.org/ 10.21203/rs.3.rs-8729720/v1 This work is licensed under a CC BY 4.0 License Status: Posted Version 1 posted You are reading this latest preprint version Abstract The channels of financial stress and economic uncertainty significantly influence the dynamics of risk transmission between natural gas and crude oil price shocks and stock and bond markets. This study employs the TVP-SVAR-SV technique to examine the evolving relationship between various types of energy price shocks, economic policy uncertainty, and changes in the financial stress index. The results indicate that fluctuations in natural gas and oil prices, coupled with uncertainties in the channels, have significant and time-varying effects on bond and stock market returns. Stock market returns exhibit greater sensitivity to energy price shocks than bond market returns during periods of heightened financial stress and economic policy uncertainty. The channels serve as pivotal transmission mechanisms through which energy price shocks influence Russia’s financial markets. The strength and direction of these effects vary depending on the origin of the commodity price shocks and manifest differently across the interconnected channels of energy and financial markets. This study highlights the importance of considering the interplay between energy price shocks and economic policy uncertainty in understanding the dynamics of risk transmission between energy and financial markets. The findings have significant policy implications for investors and government agencies, enabling them to make more informed investment decisions and develop more effective policies to mitigate the impact of energy price shocks on the economy. JEL CLASSIFICATION C230; C440; C580; Q431 natural gas price shocks crude oil price shocks bond market stock market economic policy uncertainty financial stress index Full Text Additional Declarations No competing interests reported. Cite Share Download PDF Status: Posted Version 1 posted You are reading this latest preprint version Research Square lets you share your work early, gain feedback from the community, and start making changes to your manuscript prior to peer review in a journal. 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Also discoverable on Platform About Our Team In Review Editorial Policies Advisory Board Help Center Resources Author Services Accessibility API Access RSS feed Manage Cookie Preferences © Research Square 2026 | ISSN 2693-5015 (online) Privacy Policy Terms of Service Do Not Sell My Personal Information {"props":{"pageProps":{"initialData":{"identity":"rs-8729720","acceptedTermsAndConditions":true,"allowDirectSubmit":true,"archivedVersions":[],"articleType":"Research Article","associatedPublications":[],"authors":[{"id":606925580,"identity":"9ad40786-6eef-459a-83bb-d1e6a1a3fa10","order_by":0,"name":"Jassim Aladwani","email":"data:image/png;base64,iVBORw0KGgoAAAANSUhEUgAAAZAAAAAyAQMAAABI0h/eAAAABlBMVEX///8AAABVwtN+AAAACXBIWXMAAA7EAAAOxAGVKw4bAAAA+0lEQVRIiWNgGAWjYBACxgYGxgMMbEAWM/MxZgaGBAYQBori1cIA1cKWRpwWEIBoYeAxI04LcwPzgwM/yg7Lm7PzfHtcUJPGwM+eY8A4sw2fw9gMDvacO2y4s5l3u/GMYzkMkj1vDBg34tXCYHCAt+0244bDvNukeRsqGAxuAG15uA2fFvYPB/+23bbfcJjnGViLPWEtPAaHgbYkArWwAbXkMBhIALVsxKelmafgsMy5/8kbDrOZG/McS+OROPOs4ODMf7i1GLa3b3z4pizNdsP5w88e89Qky/G3J2982HMGj5ZmNAEeEHEAtwYGBnl8kqNgFIyCUTAKwAAA531VmN8IY34AAAAASUVORK5CYII=","orcid":"","institution":"Box Hill College of Kuwait","correspondingAuthor":true,"prefix":"","firstName":"Jassim","middleName":"","lastName":"Aladwani","suffix":""}],"badges":[],"createdAt":"2026-01-29 09:50:35","currentVersionCode":1,"declarations":"","doi":"10.21203/rs.3.rs-8729720/v1","doiUrl":"https://doi.org/10.21203/rs.3.rs-8729720/v1","draftVersion":[],"editorialEvents":[],"editorialNote":"","failedWorkflow":false,"files":[{"id":108007539,"identity":"d7f2ee5b-89da-4b8b-9432-c0d2dc2b1cd6","added_by":"auto","created_at":"2026-04-28 13:00:27","extension":"pdf","order_by":1,"title":"","display":"","copyAsset":false,"role":"manuscript-pdf","size":1614984,"visible":true,"origin":"","legend":"","description":"","filename":"OrgiunalFinalPaperRussia.pdf","url":"https://assets-eu.researchsquare.com/files/rs-8729720/v1_covered_e5f3a95c-6b86-4e6a-8f56-4a5b753fe6ba.pdf"}],"financialInterests":"No competing interests reported.","formattedTitle":"Time-varying effects of crude oil and natural gas price shocks on Russia’s financial markets: The roles of financial stress and economic policy uncertainty channels","fulltext":[],"fulltextSource":"","fullText":"","funders":[],"hasAdminPriorityOnWorkflow":false,"hasManuscriptDocX":false,"hasOptedInToPreprint":true,"hasPassedJournalQc":"","hasAnyPriority":false,"hideJournal":true,"highlight":"","institution":"","isAcceptedByJournal":false,"isAuthorSuppliedPdf":true,"isDeskRejected":"","isHiddenFromSearch":false,"isInQc":false,"isInWorkflow":false,"isPdf":true,"isPdfUpToDate":true,"isWithdrawnOrRetracted":false,"journal":{"display":true,"email":"[email protected]","identity":"researchsquare","isNatureJournal":false,"hasQc":true,"allowDirectSubmit":true,"externalIdentity":"","sideBox":"","snPcode":"","submissionUrl":"/submission","title":"Research Square","twitterHandle":"researchsquare","acdcEnabled":true,"dfaEnabled":false,"editorialSystem":"","reportingPortfolio":"","inReviewEnabled":false,"inReviewRevisionsEnabled":true},"keywords":"natural gas price shocks, crude oil price shocks, bond market, stock market, economic policy uncertainty, financial stress index","lastPublishedDoi":"10.21203/rs.3.rs-8729720/v1","lastPublishedDoiUrl":"https://doi.org/10.21203/rs.3.rs-8729720/v1","license":{"name":"CC BY 4.0","url":"https://creativecommons.org/licenses/by/4.0/"},"manuscriptAbstract":"\u003cp\u003eThe channels of financial stress and economic uncertainty significantly influence the dynamics of risk transmission between natural gas and crude oil price shocks and stock and bond markets. 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