Uncertainty is a key source of macroeconomic fluctuations and has attracted increasing attention, particularly since the 2008 global financial crisis. Understanding cross-country uncertainty spillovers is therefore essential for interpreting economic and political developments. This study examined uncertainty spillovers among 16 OPEC+ members and 16 European countries, representing one of the major oil- and gas-importing blocs. The analysis used the frequency connectedness approach within a quantile vector autoregression (QVAR) framework and monthly data spanning 2008–2025. The findings revealed five main results. First, total connectedness within both groups generally exceeded 70% and varied across time horizons. Second, within OPEC+, Qatar and Mexico were the primary transmitters of uncertainty, whereas Angola and Azerbaijan were the main receivers. In Europe, Austria and the United Kingdom would act as transmitters, while the Netherlands and Spain were receivers. Third, countries’ net transmitter and receiver roles would differ between short- and long-term horizons. Fourth, the predominance of long-term connectedness in Europe suggested that uncertainty was transmitted primarily through fundamental macroeconomic channels rather than temporary shocks. Fifth, within the OPEC+ network, Iran was most strongly affected by uncertainty originating in Oman and Mexico, while exerting its strongest spillover effects on Oman, Azerbaijan, and Saudi Arabia. By distinguishing between short- and long-term connectedness, the proposed approach can provide a valuable tool for assessing economic resilience and identifying horizon-specific patterns of uncertainty transmission. Concerning policymaking and policymakers, these findings offer deeper insights into the mechanisms underlying uncertainty spillovers and the interconnected roles of individual countries.
Introduction
Global uncertainty has emerged as a major driver of systemic risk in recent decades, particularly in the aftermath of the 2008 global financial crisis, the COVID–19 pandemic, and escalating geopolitical tensions. The global energy market serves as a vital link between OPEC+ countries, which are major energy suppliers, and European countries, which constitute a key energy-importing bloc—thus creating a complex network of interdependence. However, the existing literature has relied predominantly on mean-based models, often overlooking the heterogeneity of uncertainty spillovers across different time horizons. To address this research gap, the present study aimed to examine the network structure of uncertainty spillovers between these two blocs by using an advanced quantile-frequency approach. Identifying the channels through which uncertainty propagates and assessing the persistence of shocks over short- and long-term horizons are essential for understanding the structural resilience of macroeconomic systems and energy markets amid global uncertainty and economic turbulence.
Materials and Methods
The present study used a quantile-frequency connectedness framework to examine global uncertainty spillovers. First, a quantile vector autoregression (QVAR((p))) model was estimated to capture transmission mechanisms beyond the conditional mean and across different quantiles. Generalized forecast error variance decomposition (GFEVD) was then employed to construct directional spillover matrices. Second, the moving-average representation was used to decompose forecast error variance across two frequency horizons: (1) the short-term band , capturing transitory fluctuations over a horizon of 2–12 months, and (2) the long-term band , capturing persistent structural interdependencies over the horizons exceeding 12 months. System-wide network metrics—including the Total Connectedness Index (TCI), directional spillovers (TO and FROM), net positions (NET), and net pairwise directional connectedness (NPDC)—were calculated across time and frequency domains. To capture dynamic interdependencies under typical macroeconomic conditions, the study evaluated the empirical model at the median quantile , using a 120-month rolling window for a sample of 16 OPEC+ economies and 16 European economies over the period 2008–2025.
Results and Discussion
Empirical results from the quantile-frequency connectedness framework revealed substantial systemic interdependence across the economies examined, with average TCI values of 74.00% for OPEC+ and 76.87% for Europe. The spectral decomposition indicated that uncertainty transmission was predominantly a high-frequency, transitory phenomenon in both groups. Short-term connectedness, measured over a 2–12-month horizon, accounted for 51.50% in OPEC+ and 48.79% in Europe. These values exceeded long-term connectedness, which captured persistent structural spillovers and stood at 22.55% and 28.09%, respectively. Nevertheless, time-varying rolling-window estimates revealed sharp increases in connectedness during major systemic crises, particularly the COVID–19 pandemic and the 2022 Russia–Ukraine conflict, with connectedness in Europe approaching 100%. During these episodes, low-frequency, persistent shocks temporarily emerged as the dominant transmission channel.
Directional spillover measures (i.e., NET and NPDC) further revealed pronounced asymmetries in the transmission of uncertainty. Within OPEC+, major energy suppliers—particularly Qatar, Mexico, Saudi Arabia, and Venezuela—emerged as persistent net transmitters of shocks, whereas Algeria, Azerbaijan, and Iran were identified as net shock receivers, reflecting their exposure to export vulnerabilities and geopolitical sanctions. Within the European network, the United Kingdom, Austria, Belgium, and Ukraine would act as major net shock transmitters, while energy-importing economies such as the Netherlands, Spain, and Turkey represented the most vulnerable net shock absorbers.
Finally, the system-wide clustering of all 32 economies led to the identification of four highly interconnected clusters, highlighting the role of geopolitical and energy-related epicenters, (particularly Ukraine and Algeria) in transmitting primary supply shocks to the European market. These shocks would subsequently be amplified and redistributed through key Western European financial hubs (notably France and Italy), underscoring the interconnected nature of energy-market and financial transmission channels.
Conclusion
Using a QVAR framework, the current study examined dynamic global uncertainty spillovers across 16 OPEC+ and 16 European economies over the period 2008–2025. The findings reveal substantial systemic interdependence across countries, with total connectedness exceeding 70% in OPEC+ and approaching 100% in Europe during major systemic crises after 2020, particularly the COVID–19 pandemic and the Russia–Ukraine war. Nevertheless, in economies such as Algeria, Venezuela, Austria, and Ukraine, uncertainty appeared to be driven primarily by domestic macroeconomic conditions, structural characteristics, and geopolitical factors rather than by external spillovers. Moreover, Ukraine, Algeria, Venezuela, Malaysia, and Italy emerged as major net transmitters of systemic shocks, reflecting their strategic positions within global energy, trade, and financial networks.
Crucially, the roles of individual economies in shock transmission vary across frequency horizons, underscoring the inadequacy of static policy frameworks. From a policy perspective, economies identified as net shock transmitters should prioritize multilateral policy coordination and develop proactive risk-mitigation mechanisms. By contrast, net recipient economies should reduce their structural vulnerabilities through economic diversification, enhanced institutional transparency, and flexible macroprudential measures, while strengthening strategic energy reserves to improve resilience against external shocks and cross-border contagion.