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On the effects of uncertainty measures on sustainability indices: An empirical investigation in a nonlinear framework

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  • de Oliveira, Erick Meira
  • Cunha, Felipe Arias Fogliano de Souza
  • Palazzi, Rafael Baptista
  • Klotzle, Marcelo Cabus
  • Maçaira, Paula Medina

Abstract

This study investigates the effects of uncertainty measures on the dynamics of sustainability indices across different regions of the globe in the post-crisis period. The analysis is conducted under a multivariate Nonlinear Autoregressive-Distributed Lag (NARDL) framework. The results suggest that besides contributing to the Sustainable Development Goals, sustainability indices may serve as valuable tools to investors, asset managers and other stakeholders to dampen and/or offset the negative impacts of local and global measures of uncertainty, depending on the analyzed region. Other implications and an agenda for future research are also discussed.

Suggested Citation

  • de Oliveira, Erick Meira & Cunha, Felipe Arias Fogliano de Souza & Palazzi, Rafael Baptista & Klotzle, Marcelo Cabus & Maçaira, Paula Medina, 2020. "On the effects of uncertainty measures on sustainability indices: An empirical investigation in a nonlinear framework," International Review of Financial Analysis, Elsevier, vol. 70(C).
    • Handle: RePEc:eee:finana:v:70:y:2020:i:c:s1057521920301496
    DOI: 10.1016/j.irfa.2020.101505
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    More about this item

    Keywords

    Sustainability indices; Uncertainty; Nonlinearity; NARDL; Asymmetric effects;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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