Global climate policy uncertainty and financial markets

IF 5.4 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money Pub Date : 2024-08-20 DOI:10.1016/j.intfin.2024.102047

Qiang Ji , Dandan Ma , Pengxiang Zhai , Ying Fan , Dayong Zhang

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Abstract

This paper aims to examine whether and to what extent global climate policy uncertainty can impact financial markets. We first construct a novel index of global climate policy uncertainty by performing textual analysis of two million news articles over the period 2013–2021. We then use a time–frequency spillover and network analysis to show how the impacts of shocks from global climate policy uncertainty on five key international financial markets evolve over time and to characterize the underlying risk transmission channels. We find significant spillovers from global climate policy uncertainty to the financial markets, while the impacts of global climate policy uncertainty are heterogenous across financial markets and more profound in the bond market. Our results also show that spillovers from global climate policy uncertainty to the financial markets are mostly concentrated in the short term, underscoring the need for investors to adjust strategies and regulators to implement measures mitigating short-term market reactions to climate policy shocks.

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全球气候政策的不确定性与金融市场

本文旨在研究全球气候政策的不确定性是否以及在多大程度上会影响金融市场。我们首先通过对 2013-2021 年间的 200 万篇新闻报道进行文本分析，构建了全球气候政策不确定性的新指数。然后，我们使用时频溢出效应和网络分析来说明全球气候政策不确定性的冲击对五个主要国际金融市场的影响是如何随时间演变的，并描述潜在的风险传导渠道。我们发现全球气候政策的不确定性对金融市场产生了巨大的溢出效应，而全球气候政策的不确定性对不同金融市场的影响是不同的，对债券市场的影响更为深远。我们的研究结果还表明，全球气候政策不确定性对金融市场的溢出效应主要集中在短期内，这突出表明投资者需要调整策略，监管机构需要采取措施减轻市场对气候政策冲击的短期反应。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of International Financial Markets Institutions & Money Multiple-

CiteScore

6.60

自引率

10.00%

发文量

142

期刊介绍： International trade, financing and investments, and the related cash and credit transactions, have grown at an extremely rapid pace in recent years. The international monetary system has continued to evolve to accommodate the need for foreign-currency denominated transactions and in the process has provided opportunities for its ongoing observation and study. The purpose of the Journal of International Financial Markets, Institutions & Money is to publish rigorous, original articles dealing with the international aspects of financial markets, institutions and money. Theoretical/conceptual and empirical papers providing meaningful insights into the subject areas will be considered. The following topic areas, although not exhaustive, are representative of the coverage in this Journal. • International financial markets • International securities markets • Foreign exchange markets • Eurocurrency markets • International syndications • Term structures of Eurocurrency rates • Determination of exchange rates • Information, speculation and parity • Forward rates and swaps • International payment mechanisms • International commercial banking; • International investment banking • Central bank intervention • International monetary systems • Balance of payments.