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, Marco
Primo
;
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.
2024
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11566/324972
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