Analyzing the degree persistence of shocks to energy security of the G7 countries: Evidence using panel SPSM-quantile unit root test

Abstract

Energy security is affected by extreme natural, human, domestic political, geopolitical, and fossil energy price shocks/events and green energy policies. The degree of persistence in energy security determines the magnitudes of social, economic, and environmental outcomes of the shocks/policies. In this paper, we examined the degree of persistence in energy security of G7 countries using a new proxy namely the energy security risk index, and a novel second-generation panel quantile unit root test over the period 1980–2018. In addition, we applied the sequential panel selection method (SPSM), to identify the stationary members within each quantile. Our results indicated the stochastic properties of the energy security risk indexes vary across the quantile and the countries. Among the G7 countries, the energy security risk index of the US displays unit root process within all quantiles. While the energy security risk indexes of other countries display stationary processes, especially within high quantiles. Our results have important policy implications regarding the effectiveness of green policies in improving the energy security of the G7 countries and the disturbance effects of anti-energy security shocks. According to our findings, the US has to constantly pursue the risks that threaten the country's energy system while other G7 countries likely do not have such severe concerns about shocks affecting energy security, and these shocks have a short-term effect on their energy security.