Navigating the impact of ESG sustainability uncertainty on fossil fuel prices: evidence from wavelet cross-quantile regression

Olanrewaju V. O., Adebayo T. S., Uzun B.

Applied Economics, 2025 (SSCI) identifier

  • Nəşrin Növü: Article / Article
  • Nəşr tarixi: 2025
  • Doi nömrəsi: 10.1080/00036846.2025.2535552
  • jurnalın adı: Applied Economics
  • Jurnalın baxıldığı indekslər: Social Sciences Citation Index (SSCI), Scopus, IBZ Online, International Bibliography of Social Sciences, Periodicals Index Online, ABI/INFORM, Business Source Elite, Business Source Premier, CAB Abstracts, EconLit, Geobase, Index Islamicus, Public Affairs Index, Veterinary Science Database
  • Açar sözlər: fossil fuel energy price, market conditions, Sustainability uncertainty, wavelet analysis
  • Adres: Bəli

Qısa məlumat

Amidst a rapidly evolving energy landscape, understanding how ESG-driven sustainability risks reshape oil, heating oil, and natural gas prices is crucial for investors and policymakers charting a resilient path forward. Therefore, this study utilizes the recently developed ESG-based sustainability uncertainty index (ESGUI), which provides a crucial tool for assessing how ESG (environmental, social, governance) uncertainties are integrated into investment decisions. This research examines the impact of ESGUI on fossil fuel energy price volatility, using data from 2002:M11 to 2024:M9. Additionally, the study introduces wavelet cross-quantile regression to capture this relationship. The results show that ESGUI has a predominantly negative short-term impact on oil, heating oil, and natural gas prices, especially under bearish or moderately active market conditions. However, in the long term, ESG uncertainty tends to increase prices across all three fuels–reflecting market adjustments to regulatory risks, supply concerns, and hedging strategies. Based on these findings, the study formulates relevant policy recommendations.