Economic policy uncertainty is the probability that subsequent policies will differ from present policies and the effect of these variations on microeconomics and macroeconomics activities [1]. Reference [7] reignited the impact of macroeconomics on uncertainty. Alexopoulos and [8,9,10,11] are the most recent studies that investigate the impact of macroeconomics on economic policy uncertainty in the USA. Such studies have focus on the USA; that is, they pay attention to the macroeconomic variables that are affected by economic policy uncertainty. In similar studies, a negative relationship was shown between economic policy uncertainty and stock market return in China [12,13,14,15]. Economic policy uncertainty harms consumers, investors, and corporations, as an increase in economic policy uncertainty distracts the consumption behavior of consumers and decreases the investment pattern of investors and corporations [16,17,18]. In other studies, is recorded that economic policy uncertainty is positively related to high stock volatility and negatively related to return on the stock market [13,19,20]. Economic policy uncertainty and oil price are extensively studied in the literature; ref [21] investigates the effect of economic policy uncertainty and oil price on stock return in a case study of oil and gas firms and reported a negative effect of economic policy uncertainty shock on stock return, and a positive shock of oil price on stock return. A similar study [12] reported a positive interaction between oil price and economic policy uncertainty amid the period of high financial activities. Ref. [22] reported no significant causal relationship between oil price and economic policy uncertainty. In the US economy, high economic policy uncertainty increased the shocks in the oil price [21]. In a similar study, it was discovered that economic policy uncertainty and financial uncertainty in the US did not always affect oil price, but that it was dependent on time [23]. Using the quantile-on-quantile model, ref [24] examined state-dependent spillover impacts of policy uncertainty on currency in the US and identified a significant relationship.

The relationship between energy consumption and economic growth was first examined by studies [25,26,27], among others. Conflicting outcomes have been recorded by these studies; these conflicts led to the formation of four hypotheses: “growth hypothesis” (energy consumption led to economic growth), “neutrality hypothesis” (no relationship) “conservation hypothesos” (economic growth led to energy consumption), and “feedback hypothesis” (energy consumption led to economic growth and economic growth also led to energy consumption).

Reference [28] discovered a positive relationship between natural gas consumption and economic growth in Turkey. In a similar study, ref [29] reported a feedback causality between natural gas consumption and economic growth in Korea. The presence of a feedback relationship was recorded by (Solarin and Shahbaz, 2015) [30] in their study of natural gas consumption and economic growth: the role of foreign direct investment capital formation and trade openness in Malaysia. Another study [31] applied ARDL and Johansen cointegration models in their study of the natural gas consumption and economic growth nexus in Malaysia, and their findings revealed that the economy is not an important predictor of natural gas consumption.

Natural gas consumption is positively related to the economic growth of the GCC countries, in the long term; furthermore, a bidirectional causal relationship exists between natural gas consumption and economic growth [32]. In a similar study, a feedback relationship was found between natural gas consumption and economic growth in OPEC member countries [33]. Reference [34] examined the relationship between natural gas consumption and economic growth in Pakistan, and the results of the study revealed that natural gas consumption is an important predictor of economic growth. In a similar study, ref [35] recorded a positive causality running from natural gas consumption to economic growth in Malaysia.

Natural gas consumption does not improve economic growth in the short term, but natural gas consumption increases economic growth in the long term in 12 European countries included in the study [36]. Reference [37] discovered that natural gas consumption is an important predictor of GDP in Saudi Arabia; further, they reported a non-causal relationship between natural gas consumption and total trade, and the same relation for GDP and total trade. The relationship between natural gas consumption and economic growth in Turkey is examined based on time-variation from 1983 through 2017. The outcome reveals no causal relationship between natural gas consumption and economic growth for the whole period of the study, however, when the study further applied causality estimations for sub-periods, a one-sided causality was discovered running from natural gas consumption to economic growth from 2001 to 2015, 1997–2011, and 1996–2010, and a unidirectional causality running from economic growth to natural gas from 2000 to 2014 [38].

In [39], it was predicted that the volume of natural gas that will be consumed by the residents, commerce, and industries in the United States of America would slightly decrease between 2019 and 2025. They further predicted a slow growth of natural gas consumption (average of 1.2%), and a significant improvement in the natural gas consumption in the power generation sector to about 39% in the year 2025.

Previous studies show that uncertainty plays a significant role in determining oil price changes. According to [40], price volatility is caused by fundamentals and, uncertainty then intensifies the price effect of demand and supply shocks. According to [41], uncertainty determines the decisions of oil producers, which directly affect the oil price. The novel study of [42] was the first research to model prudent demand depends on uncertainty changes. The findings of the research indicate that the crude oil market is significantly affected by the increase in prudent demand for oil that is caused by a high level of uncertainty. Reference [43] investigated the relationship between oil prices and economic policy uncertainty in G7 nations. The findings of the study show that the impact of oil prices on economic policy uncertainty is time-varying. Reference [44] examines the relationship between oil prices and economic policy uncertainty for a panel of global oil importers and exporters. The findings of the study report that oil prices respond negatively to economic policy uncertainty. Reference [45] documents that oil price shocks have a positive impact on economic policy uncertainty, while the effect of economic policy uncertainty on oil price depends on time.

The demand and supply of natural gas, the price of crude oil, and climatic factors are the major factors that affect the natural gas prices [46,47,48]. Reference [49] reports that crude oil price is the major determinant of natural gas price in China.

In [50], a positive and negative asymmetric relationship between economic policy uncertainty and gasoline price for a panel of 18 selected countries over the period of 1998–2017 was discovered. Reference [51] reported that economic policy uncertainty increases volatility in both oil and gas markets in the United States. Reference [52] investigates linear and non-linear causal relationship between economic policy uncertainty and energy prices. The study identified a negative relationship between energy prices and economic policy uncertainty.