Asymmetric spillovers and resilience in physical and financial assets amid climate policy uncertainties: Evidence from China

IF 12.9 1区管理学 Q1 BUSINESS

Technological Forecasting and Social Change Pub Date : 2024-08-28 DOI:10.1016/j.techfore.2024.123701

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引用次数: 0

Abstract

Climate policy is essential for fostering sustainable development and addressing climate-related issues, while climate policy uncertainty (CPU) introduces complex challenges in providing a consistent framework for action. In this study, we delve into the spillover dynamics among China's domestic CPU, foreign CPU, physical assets, and financial assets across various market scenarios, through a quantile-based connectedness method and evidence from China. The findings reveal: (1) The spillover dynamics are asymmetric across quantiles and time, and the COVID-19 pandemic influences the total connectedness. (2) The complexity of spillover patterns in physical assets is likely contingent upon market conditions, policy sources, asset types, and industrial-chain positions, while the spillovers of financial assets are quantile-dependent and time-varying, with the agricultural equity market showing relative resilience to the pandemic. (3) There is no significant Granger causality in quantiles between domestic CPU and foreign CPU under the entire sample period, and the rankings regarding the spillovers from CPUs to assets vary across market conditions. Implications for policymakers, investors, and firms are provided.

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气候政策不确定性下实物资产和金融资产的非对称溢出效应和复原力：来自中国的证据

气候政策对于促进可持续发展和解决气候相关问题至关重要，而气候政策的不确定性（CPU）在提供一致的行动框架方面带来了复杂的挑战。在本研究中，我们通过基于量子关联度的方法和来自中国的证据，深入研究了中国国内 CPU、国外 CPU、实物资产和金融资产在不同市场情景下的溢出动态。研究结果表明：（1）溢出动态在量级和时间上是不对称的，COVID-19 大流行影响了总关联度。(2) 实物资产溢出模式的复杂性可能取决于市场条件、政策来源、资产类型和产业链地位，而金融资产的溢出则取决于数量级和时间变化，农业股票市场对大流行病表现出相对的抗御能力。(3) 在整个样本期间，国内中央政策组与国外中央政策组之间不存在显著的格兰杰因果关系，中央政策组对资产的溢出效应在不同市场条件下的排名也不同。这对政策制定者、投资者和企业具有启示意义。

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

Technological Forecasting and Social Change Multiple-

CiteScore

21.30

自引率

10.80%

发文量

813

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