Climate policy uncertainty through production networks: Evidence from the stock market

IF 2.1 4区经济学 Q2 ECONOMICS

Economics Letters Pub Date : 2023-10-09 DOI:10.1016/j.econlet.2023.111405

Xiaoyang Yao, Wenjing He, Jianfeng Li, Wei Le

引用次数: 1

Abstract

This thesis provides a deeper insight into quantifying the part of the production network in explaining spillovers of climate policy uncertainty (CPU) shocks to stock returns. By introducing world input–output data into the spatial vector autoregression (SAR) model, we distinguish the direct impact of CPU and the indirect impact occurring through the production network. The results show that more than 60 % of CPU’ effect on the stock market can be explained by the spillovers induced by the production network. In addition, the indirect effect is more obvious in the long term than in the short term.

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生产网络带来的气候政策不确定性:来自股票市场的证据

本文对量化生产网络的部分提供了更深入的见解，以解释气候政策不确定性（CPU）冲击对股票回报的溢出效应。通过将世界输入-输出数据引入空间向量自回归（SAR）模型，我们区分了CPU的直接影响和通过生产网络发生的间接影响。结果表明，CPU对股票市场的影响有60%以上可以用生产网络引发的溢出效应来解释。此外，间接效应在长期内比在短期内更明显。

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

Economics Letters ECONOMICS-

CiteScore

3.20

自引率

5.00%

发文量

348

审稿时长

30 days

期刊介绍： Many economists today are concerned by the proliferation of journals and the concomitant labyrinth of research to be conquered in order to reach the specific information they require. To combat this tendency, Economics Letters has been conceived and designed outside the realm of the traditional economics journal. As a Letters Journal, it consists of concise communications (letters) that provide a means of rapid and efficient dissemination of new results, models and methods in all fields of economic research.