An empirical study on the response of the energy market to the shock from the artificial intelligence industry

This paper makes the first attempt to look at the response of the energy market to the shock from the AI industry and the role of AI in the energy market risk spillover network. The innovation of the paper lies in adopting a quantile-based and time-varying framework in the empirical analysis. This enables us to reveal the cross-quantile and lead-lag correlations between AI and the energy market. We find that an extreme negative shock from AI tends to correspond to an extreme downward movement in crude oil, gasoline, gas oil, and clean energy markets and the shock response dissipates after 66 days. Meanwhile, the cross-quantile correlations are subject to structural changes once the extreme events arrive. As for the total spillover effect of the energy market, it increases by 5.34 % after AI is considered as a source of uncertainty in the risk spillover network dominated by the crude oil market. Thus, the shock from AI challenges the stability of the energy market. A close relationship between the AI industry and the clean energy market is also identified. We contribute to studying the relationship between the AI industry and the energy market from the perspective of the risk connectedness between the two fields.