可持续性指数的跨区域溢出效应：一个异方差稳健VAR方法

IF 9.8 1区经济学 Q1 BUSINESS, FINANCE

International Review of Financial Analysis Pub Date : 2025-10-16 DOI:10.1016/j.irfa.2025.104678

Kaiji Motegi , Saki Sugano

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引用次数: 0

摘要

随着2030年可持续发展目标截止日期的临近，人们越来越关注可持续性指数的地理多样性。本文采用向量自回归模型研究了道琼斯可持续发展指数（DJSIs）的跨区域溢出效应。我们的贡献是通过计算对未知形式的条件异方差具有鲁棒性的脉冲响应和置信区间来表征溢出的符号和统计显著性。我们发现了从北美到欧洲和亚太地区显著的、积极的、单向的溢出效应，这对投资者和政策制定者来说是一个有用的发现。当道琼斯指数取代道琼斯指数时，实证结果相似，表明可持续投资可以在不牺牲经济利益的情况下提高全球可持续性。

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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Cross-regional spillover effects of sustainability indices: A heteroscedasticity-robust VAR approach

As the deadline of the Sustainable Development Goals approaches in 2030, there is increasing attention to the geographical diversification of sustainability indices. We investigate cross-regional spillover effects of the Dow Jones Sustainability Indices (DJSIs), using vector autoregressive models. Our contribution is to characterize the sign and statistical significance of spillovers by computing impulse responses and confidence intervals which are robust to conditional heteroscedasticity of unknown form. We detect significant, positive, unidirectional spillover effects from North America to Europe and Asia Pacific, a useful finding for investors and policymakers. Empirical results are similar when the DJSIs are replaced with the Dow Jones Indices, suggesting that sustainable investment could enhance global sustainability without sacrificing financial benefits.

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来源期刊

International Review of Financial Analysis BUSINESS, FINANCE-

CiteScore

10.30

自引率

9.80%

发文量

366

期刊介绍： The International Review of Financial Analysis (IRFA) is an impartial refereed journal designed to serve as a platform for high-quality financial research. It welcomes a diverse range of financial research topics and maintains an unbiased selection process. While not limited to U.S.-centric subjects, IRFA, as its title suggests, is open to valuable research contributions from around the world.