Value of $λ$ for each variable under analysis when the coefficient $ϑ$ decreases to 0. Note(s): DPO denotes demand production oil; DPG denotes demand production gas; DPC denotes demand production coal; DPU denotes demand production uranium; SPO denotes supply production oil; SPG denotes supply production gas; SPC denotes supply production coal; SPU denotes supply production uranium; UR denotes unemployment rate; IPI denotes industrial production; CPI denotes consumer price index; PPI denotes producer price index; RPCE denotes real personal consumption expenditure; HS denotes housing starts; MI denotes money supply base local currency; CFNAI denotes Chicago Fed national activity; MUI denotes macroeconomic uncertainty index; FMUI denotes financial market uncertainty index; EPUI denotes economic policy uncertainty index; MCSI denotes Michigan consumer sentiment index; GRI denotes geopolitical risk index; XOI denotes NYSE Arca oil index; XNG denotes NYSE Arca natural gas index; DJUSCL denotes DJ coal index; GXUI denotes Global X uranium index; OL denotes oil index returns; NGL gas index returns; CL denotes coal index returns; UI denotes uranium index returns; CORV denotes crude oil realised volatility; NGRV denotes natural gas realised volatility; CRV denotes coal realised volatility; URV denotes uranium realised volatility; SMV denotes stock market variance; TS denotes term spread; and DYS denotes default-yield spread. Source(s): Authors' own elaboration