Asymmetries in Market Connectedness: How Fossil and Green Energy Respond to Oil and Monetary Shocks

The growing interdependence between energy markets, financial markets, and digital assets has created new policy challenges for safeguarding energy security. This paper develops a policy-oriented model with a dynamic vector autoregressive specification with exogeneous variables to examine how oil-price shocks, monetary policy, and financial contagion propagate across fossil fuel markets, renewable energy markets, and Bitcoin using daily data for 2010–2024. The results show that fossil fuel markets remain the main transmitters of volatility, whereas renewable energy markets are generally more resilient receivers of shocks. The proposed framework provides policymakers with a practical tool to monitor systemic vulnerabilities and support coordinated energy, monetary, and financial policies that strengthen the resilience of the energy transition.