How Economic Policy Uncertainty Is Associated with Spillover Networks: A TVP-VAR-DY Analysis of Energy and Carbon Markets

This study uses a TVP-VAR-DY connectedness framework to examine dynamic connectedness among economic policy uncertainty, energy markets, and the Guangdong pilot carbon market. By integrating system-wide connectedness, market-level spillovers, and evolving network structures, the analysis captures the time-varying co-movement across the energy–carbon nexus. At the system level, EPU exhibits a time-varying, regime-dependent association with systemic connectedness. Rather than being uniformly associated with stronger connectedness, heightened uncertainty coincides with rapid synchronization during financial stress, whereas under real economy conditions it is associated with more persistent, expectation-related co-movement. At the market level, clear heterogeneity emerges. Coal displays relatively low sensitivity to uncertainty shocks, oil alternates between net directional roles across regimes, natural gas shows strong sensitivity to uncertainty variation, and the carbon market responds more directly to policy and regulatory changes. From a network perspective, net directional roles and pairwise connectedness pathways vary across uncertainty regimes. The findings suggest that EPU is associated not only with changes in the intensity of connectedness but also with time-varying differences in its distribution across markets, highlighting the relevance of network-oriented monitoring frameworks for energy–carbon market stability.