Hi. Yes it can. Heat loss occurs because of air leaks throughout the entire home. Keeping a home sealed is very important but can create moisture problems because of everyday activities such as cooking, showering, and keeping indoor plants.
Any way you can minimize the heat loss through air transfer will lower the bills.
You do not want to caulk a window shut. You may want to open it in the summer and some caulks are very difficult toi remove and can cause damage.
I'm not convinced that caulking is the answer.