Energy, uncertainty and geopolitics: A SHAP-based tail analysis of spot and futures uranium markets

This paper investigates the mechanisms through which macroeconomic and geopolitical shocks influence the volatility of spot and futures uranium markets. The analysis employs gradient boosting and Shapley Additive explanations (SHAP) values and introduces a novel rolling Extreme SHAP Impact Index (ESII) designed to capture periods of abrupt changes in feature importance. The study adopts a dual-price approach, using the Global Price of Uranium as a spot proxy and the Uranium Futures Contract, along with the Global Price of Energy Index. Risk and uncertainty are measured by the Geopolitical Risk Index (GPR), the Global Economic Policy Uncertainty Index (GEPU) and the GDP-weighted World Uncertainty Index (WUI). Our results show divergent behaviors in the spot and futures markets, with different volatility drivers. The findings highlight structural limitations and vulnerabilities in the uranium market, offering guidance for regulators and policymakers to support market stability and global energy security.