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Quantile-dependent connectedness of ESG uncertainty in G7 countries

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  • Aharon, David Y.
  • Ali, Shoaib
  • Naveed, Muhammad

Abstract

This study investigates the connectedness of ESG uncertainty across G7 countries using a Quantile Vector Autoregression (QVAR) framework. Our results indicate strong transmission between G7 countries across conditional quantiles, with pronounced asymmetries at extreme quantiles. The transmission role and intensity of each country vary over time, with the United States being a consistent net shock transmitter at the median and extreme quantiles. Relative tail dependence (RTD) analysis confirms higher transmission at the upper quantile compared to the lower quantile, demonstrating asymmetric transmission across extreme quantiles. The time-varying spillovers suggest that investors engaged in cross-border investments, while policymakers should account for these uncertainty dynamics when designing responses to effectively manage regulatory and reputational risks.

Suggested Citation

  • Aharon, David Y. & Ali, Shoaib & Naveed, Muhammad, 2026. "Quantile-dependent connectedness of ESG uncertainty in G7 countries," Finance Research Letters, Elsevier, vol. 99(C).
    • Handle: RePEc:eee:finlet:v:99:y:2026:i:c:s1544612326004629
    DOI: 10.1016/j.frl.2026.109933
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    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q56 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Environment and Development; Environment and Trade; Sustainability; Environmental Accounts and Accounting; Environmental Equity; Population Growth
    • 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

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