Do the BRIC and Türkiye energy markets respond to unexpected geopolitical risks? Evidence from novel wavelet cross-quantile correlation

This study examines the effects of unanticipated geopolitical risks, both act-based (UGPRA) and threat-based (UGPRT), on the energy sectors of BRICT nations (Brazil, Russia, India, China, and Türkiye). The analysis uses monthly data from August 2014 to November 2024 and employs the innovative Wavelet Cross-Quantile Correlation (WCQC) technique. This method allows the assessment of dynamic and quantile-dependent associations between geopolitical risks and energy market volatility across various time horizons. The results indicated diverse responses among the countries studied, with Brazil and Türkiye exhibiting notable vulnerabilities, whereas India and China demonstrated comparative resilience. Russia shows a marked long-term sensitivity to sustained geopolitical tensions. The reliability of these findings was confirmed through robust checks using Spearman-based WCQC and WQC. This investigation highlights the necessity for bespoke energy policies to bolster market resilience against geopolitical uncertainties, providing crucial insights for decision-makers in economies dependent on energy resources.