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Asymmetric spillovers from climate, trade, and monetary policy uncertainty to greenhouse gases: A quantile-on-quantile connectedness approach
(Academic Press Ltd- Elsevier Science Ltd, 2025) Keser, Hilal Yildirir; Tarkun, Savas
This study examines the directional and threshold-dependent connectedness between greenhouse gas emissions (CO2 and CH4) and key sources of policy uncertainty-namely climate (CPU), trade (TPU), and monetary policy (MPU)-using the Quantile-on-Quantile Connectedness (QQC) approach. Based on monthly data from January 1988 to December 2024, the results reveal asymmetric and time-varying information flows across different quantiles. CO2 emerges as a systemic transmitter under climate and monetary uncertainty, while CH4 exhibits selective and regime-dependent responses, particularly under trade policy shocks. The Total Connectedness Index (TCI) dynamics suggest significant structural breaks, with reversals in information directionality observed post-2006 and during the COVID-19 period. The findings highlight the importance of accounting for tail-risk sensitivity and nonlinear spillovers in environmental and economic policymaking, offering new insights into how uncertainty shapes emission behavior across time and regimes.