This study analyzes the time-varying effect of climate policy uncertainty (CPU) on the stock market and clean energy indices in the European context. For this purpose, we use the Bayesian time-varying parameter VAR model. The empirical results show that CPU shocks have a significant effect on the financial indexes. Returns on clean energy (crude oil) stocks increase (decrease) in response to heightened climate risk. Moreover, the COVID-19 pandemic is a relevant tipping point in CPU dynamics. These results offer important implications for European investors and policymakers in the context of the European climate-energy crisis.
How does climate policy uncertainty affect financial markets? Evidence from Europe / Tedeschi, Marco; Foglia, Matteo; Bouri, Elie; Dai, Peng-Fei. - In: ECONOMICS LETTERS. - ISSN 0165-1765. - 234:(2024). [10.1016/j.econlet.2023.111443]
How does climate policy uncertainty affect financial markets? Evidence from Europe
Tedeschi, MarcoPrimo
;
2024-01-01
Abstract
This study analyzes the time-varying effect of climate policy uncertainty (CPU) on the stock market and clean energy indices in the European context. For this purpose, we use the Bayesian time-varying parameter VAR model. The empirical results show that CPU shocks have a significant effect on the financial indexes. Returns on clean energy (crude oil) stocks increase (decrease) in response to heightened climate risk. Moreover, the COVID-19 pandemic is a relevant tipping point in CPU dynamics. These results offer important implications for European investors and policymakers in the context of the European climate-energy crisis.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
