Attention to climate events and carbon price volatility

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2025-03-26 DOI:10.1016/j.frl.2025.107253

Xue Gong, Shidong Ji, Yaojie Zhang

引用次数: 0

Abstract

This paper investigates the impact of climate change on carbon price volatility. We propose a novel climate indicator that captures investor attention to climate events. Our results show that attention to Drought and Severe storms has significant predictive power for carbon price volatility, both in-sample and out-of-sample. Moreover, we find that the predictive strength of these climate indicators is time-varying and becomes more pronounced during economic recessions. Robustness checks validate these findings. This research offers new insights into the risk factors influencing the carbon market and contributes to the broader understanding of dynamics shaping global low-carbon development.

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本文研究了气候变化对碳价格波动的影响。我们提出了一种新的气候指标，以捕捉投资者对气候事件的关注。我们的研究结果表明，无论是样本内还是样本外，对干旱和严重风暴的关注对碳价格波动都有显著的预测能力。此外，我们还发现，这些气候指标的预测力是随时间变化的，在经济衰退期间变得更加明显。稳健性检验验证了这些发现。这项研究为了解影响碳市场的风险因素提供了新的视角，有助于人们更广泛地了解影响全球低碳发展的动态因素。

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

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

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