Does extreme climate exacerbate the risk spillover in green finance markets? evidence from a multi-horizon investment perspective
Author
Abstract
Suggested Citation
DOI: 10.1016/j.jimonfin.2024.103262
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Cao, Melanie & Wei, Jason, 2005. "Stock market returns: A note on temperature anomaly," Journal of Banking & Finance, Elsevier, vol. 29(6), pages 1559-1573, June.
- Billio, Monica & Getmansky, Mila & Lo, Andrew W. & Pelizzon, Loriana, 2012.
"Econometric measures of connectedness and systemic risk in the finance and insurance sectors,"
Journal of Financial Economics, Elsevier, vol. 104(3), pages 535-559.
- Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2010. "Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors," NBER Chapters, in: Market Institutions and Financial Market Risk, National Bureau of Economic Research, Inc.
- Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2011. "Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors," Working Papers 2011_21, Department of Economics, University of Venice "Ca' Foscari".
- Khalfaoui, Rabeh & Mefteh-Wali, Salma & Dogan, Buhari & Ghosh, Sudeshna, 2023.
"Extreme spillover effect of COVID-19 pandemic-related news and cryptocurrencies on green bond markets: A quantile connectedness analysis,"
International Review of Financial Analysis, Elsevier, vol. 86(C).
- Rabeh Khalfaoui & Salma Mefteh-Wali & Buhari Dogan & Sudeshna Ghosh, 2023. "Extreme spillover effect of COVID-19 pandemic-related news and cryptocurrencies on green bond markets: A quantile connectedness analysis," Post-Print hal-03998228, HAL.
- Zhang, Yongmin & Mao, Jiaying, 2022. "COVID-19′s impact on the spillover effect across the Chinese and U.S. stock markets," Finance Research Letters, Elsevier, vol. 47(PB).
- Camilo Mora & Daniele Spirandelli & Erik C. Franklin & John Lynham & Michael B. Kantar & Wendy Miles & Charlotte Z. Smith & Kelle Freel & Jade Moy & Leo V. Louis & Evan W. Barba & Keith Bettinger & Ab, 2018. "Broad threat to humanity from cumulative climate hazards intensified by greenhouse gas emissions," Nature Climate Change, Nature, vol. 8(12), pages 1062-1071, December.
- Robert F. Engle & Eric Ghysels & Bumjean Sohn, 2013. "Stock Market Volatility and Macroeconomic Fundamentals," The Review of Economics and Statistics, MIT Press, vol. 95(3), pages 776-797, July.
- Lin, Boqiang & Wu, Nan, 2023. "Climate risk disclosure and stock price crash risk: The case of China," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 21-34.
- Polat, Onur & Ertuğrul, Hasan Murat & Sakarya, Burçhan & Akgül, Ali, 2024. "TVP-VAR based time and frequency domain food & energy commodities connectedness an analysis for financial/geopolitical turmoil episodes," Applied Energy, Elsevier, vol. 357(C).
- Francis X. Diebold & Kamil Yilmaz, 2009.
"Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets,"
Economic Journal, Royal Economic Society, vol. 119(534), pages 158-171, January.
- FrancisX. Diebold & Kamil Yilmaz, 2009. "Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets," Economic Journal, Royal Economic Society, vol. 119(534), pages 158-171, January.
- Diebold, Francis X. & Yilmaz, Kamil, 2007. "Measuring financial asset return and volatility spillovers, with application to global equity markets," CFS Working Paper Series 2007/02, Center for Financial Studies (CFS).
- Francis X. Diebold & Kamil Yilmaz, 2008. "Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets," NBER Working Papers 13811, National Bureau of Economic Research, Inc.
- Francis X. Diebold & Kamil Yilmaz, 2007. "Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets," PIER Working Paper Archive 07-002, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Francis X. Diebold & Kamil Yilmaz, 2008. "Measuring financial asset return and volatility spillovers, with application to global equity markets," Working Papers 08-16, Federal Reserve Bank of Philadelphia.
- Francis X. Diebold & Kamil Yılmaz, 2007. "Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets," Koç University-TUSIAD Economic Research Forum Working Papers 0705, Koc University-TUSIAD Economic Research Forum.
- Diebold, Francis X. & Yilmaz, Kamil, 2008. "Measuring financial asset return and volatilty spillovers, with application to global equity markets," CFS Working Paper Series 2008/26, Center for Financial Studies (CFS).
- Tom Doan, "undated". "RATS programs to replicate Diebold and Yilmaz EJ 2009 spillover calculations," Statistical Software Components RTZ00044, Boston College Department of Economics.
- Zhang, Li & Li, Yan & Yu, Sixin & Wang, Lu, 2023. "Risk transmission of El Niño-induced climate change to regional Green Economy Index," Economic Analysis and Policy, Elsevier, vol. 79(C), pages 860-872.
- O'Hara, Phillip Anthony, 2009. "Political economy of climate change, ecological destruction and uneven development," Ecological Economics, Elsevier, vol. 69(2), pages 223-234, December.
- Koop, Gary & Korobilis, Dimitris, 2013.
"Large time-varying parameter VARs,"
Journal of Econometrics, Elsevier, vol. 177(2), pages 185-198.
- Koop, Gary & Korobilis, Dimitris, 2012. "Large time-varying parameter VARs," MPRA Paper 38591, University Library of Munich, Germany.
- Koop, Gary & Korobilis, Dimitris, 2012. "Large Time-Varying Parameter VARs," SIRE Discussion Papers 2012-14, Scottish Institute for Research in Economics (SIRE).
- Gary Koop & Dimitris Korobilis, 2012. "Large Time-Varying Parameter VARs," Working Paper series 11_12, Rimini Centre for Economic Analysis.
- Gary Koop & Dimitris Korobilis, 2012. "Large time-varying parameter VARs," Working Papers 2012_04, Business School - Economics, University of Glasgow.
- Xue, Jianhao & Dai, Xingyu & Zhang, Dongna & Nghiem, Xuan-Hoa & Wang, Qunwei, 2024. "Tail risk spillover network among green bond, energy and agricultural markets under extreme weather scenarios," International Review of Economics & Finance, Elsevier, vol. 96(PC).
- Sevillano, María Caridad & Jareño, Francisco & López, Raquel & Esparcia, Carlos, 2024. "Connectedness between oil price shocks and US sector returns: Evidence from TVP-VAR and wavelet decomposition," Energy Economics, Elsevier, vol. 131(C).
- Irene Monasterolo & Stefano Battiston & Anthony C. Janetos & Zoey Zheng, 2017. "Vulnerable yet relevant: the two dimensions of climate-related financial disclosure," Climatic Change, Springer, vol. 145(3), pages 495-507, December.
- Gregor Semieniuk & Emanuele Campiglio & Jean‐Francois Mercure & Ulrich Volz & Neil R. Edwards, 2021.
"Low‐carbon transition risks for finance,"
Wiley Interdisciplinary Reviews: Climate Change, John Wiley & Sons, vol. 12(1), January.
- Gregor Semieniuk & Emanuele Campiglio & Jean-Francois Mercure & Ulrich Volz & Neil R. Edwards, 2020. "Low-carbon transition risks for finance," Working Papers 233, Department of Economics, SOAS University of London, UK.
- Jozef Baruník & Tomáš Křehlík, 2018.
"Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk,"
Journal of Financial Econometrics, Oxford University Press, vol. 16(2), pages 271-296.
- Jozef Barunik & Tomas Krehlik, 2015. "Measuring the frequency dynamics of financial connectedness and systemic risk," Papers 1507.01729, arXiv.org, revised Dec 2017.
- Javadi, Siamak & Masum, Abdullah-Al, 2021. "The impact of climate change on the cost of bank loans," Journal of Corporate Finance, Elsevier, vol. 69(C).
- Emanuele Campiglio & Yannis Dafermos & Pierre Monnin & Josh Ryan-Collins & Guido Schotten & Misa Tanaka, 2018.
"Climate change challenges for central banks and financial regulators,"
Nature Climate Change, Nature, vol. 8(6), pages 462-468, June.
- Campiglio, Emanuele & Dafermos, Yannis & Monnin, Pierre & Ryan-Collins, Josh & Schotten, Guido & Tanaka, Misa, 2018. "Climate change challenges for central banks and financial regulators," LSE Research Online Documents on Economics 88364, London School of Economics and Political Science, LSE Library.
- Dong, Kangyin & Jiang, Qingzhe & Shahbaz, Muhammad & Zhao, Jun, 2021. "Does low-carbon energy transition mitigate energy poverty? The case of natural gas for China," Energy Economics, Elsevier, vol. 99(C).
- Qiao, Xingzhi & Zhu, Huiming & Zhang, Zhongqingyang & Mao, Weifang, 2022. "Time-frequency transmission mechanism of EPU, investor sentiment and financial assets: A multiscale TVP-VAR connectedness analysis," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
- Ho, Kelvin & Wong, Andrew, 2023. "Effect of climate-related risk on the costs of bank loans: Evidence from syndicated loan markets in emerging economies," Emerging Markets Review, Elsevier, vol. 55(C).
- Diebold, Francis X. & Yilmaz, Kamil, 2012.
"Better to give than to receive: Predictive directional measurement of volatility spillovers,"
International Journal of Forecasting, Elsevier, vol. 28(1), pages 57-66.
- Francis X. Diebold & Kamil Yilmaz, 2010. "Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers," Koç University-TUSIAD Economic Research Forum Working Papers 1001, Koc University-TUSIAD Economic Research Forum, revised Mar 2010.
- Philipp Krueger & Zacharias Sautner & Laura T Starks, 2020.
"The Importance of Climate Risks for Institutional Investors,"
The Review of Financial Studies, Society for Financial Studies, vol. 33(3), pages 1067-1111.
- Philipp Krueger & Zacharias Sautner & Laura T. Starks, 2018. "The Importance of Climate Risks for Institutional Investors," Swiss Finance Institute Research Paper Series 18-58, Swiss Finance Institute.
- Chen, Yu & Zhang, Yujiao & Wang, Mingshan, 2024. "Green credit, financial regulation and corporate green innovation: Evidence from China," Finance Research Letters, Elsevier, vol. 59(C).
- Sassan Alizadeh & Michael W. Brandt & Francis X. Diebold, 2002. "Range‐Based Estimation of Stochastic Volatility Models," Journal of Finance, American Finance Association, vol. 57(3), pages 1047-1091, June.
- Li, Houjian & Li, Qingman & Huang, Xinya & Guo, Lili, 2023. "Do green bonds and economic policy uncertainty matter for carbon price? New insights from a TVP-VAR framework," International Review of Financial Analysis, Elsevier, vol. 86(C).
- Guo, Junjie & Li, Xuelian & Zhang, Weiran & Li, Youshu, 2024. "Monetary policy spillovers among five systemic economies: Evidence from the time and frequency domains," The North American Journal of Economics and Finance, Elsevier, vol. 70(C).
- Li, Tingting & Meng, Xiangrui & Wang, Weiqing & Yang, Deyong & Nie, Mengxun & Zhang, Qingyu, 2024. "Does green credit policy matter for corporate sustainable innovation? Evidence from China," Economic Analysis and Policy, Elsevier, vol. 84(C), pages 1788-1806.
- Chen, Zhang-HangJian & Zhao, Shou-Yu & Song, Huai-Bing & Yang, Ming-Yuan & Li, Sai-Ping, 2024. "Dynamic volatility spillover relationships between the Chinese carbon and international energy markets from extreme climate shocks," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 626-645.
- Curcio, Domenico & Gianfrancesco, Igor & Vioto, Davide, 2023. "Climate change and financial systemic risk: Evidence from US banks and insurers," Journal of Financial Stability, Elsevier, vol. 66(C).
- Gao, Yang & Zhou, Yueyi & Zhao, Longfeng, 2024. "Quantile interdependence and network connectedness between China's green financial and energy markets," Economic Analysis and Policy, Elsevier, vol. 81(C), pages 1148-1177.
- An, Zhe & Chen, Chen & Naiker, Vic & Wang, Jun, 2020. "Does media coverage deter firms from withholding bad news? Evidence from stock price crash risk," Journal of Corporate Finance, Elsevier, vol. 64(C).
- Henry He Huang & Joseph Kerstein & Chong Wang, 2018. "The impact of climate risk on firm performance and financing choices: An international comparison," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 49(5), pages 633-656, July.
- Dehua Shen & Wei Zhang, 2021. "Stay-at-Home Stocks Versus Go-Outside Stocks: The Impacts of COVID-19 on the Chinese Stock Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(2), pages 305-318, June.
- Stolbova, Veronika & Monasterolo, Irene & Battiston, Stefano, 2018. "A Financial Macro-Network Approach to Climate Policy Evaluation," Ecological Economics, Elsevier, vol. 149(C), pages 239-253.
- Alkathery, Mohammed A. & Chaudhuri, Kausik & Nasir, Muhammad Ali, 2022. "Implications of clean energy, oil and emissions pricing for the GCC energy sector stock," Energy Economics, Elsevier, vol. 112(C).
- Dong, Feng & Li, Zhicheng & Huang, Zihuang & Liu, Yu, 2024. "Extreme weather, policy uncertainty, and risk spillovers between energy, financial, and carbon markets," Energy Economics, Elsevier, vol. 137(C).
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Celani, Alessandro & Cerchiello, Paola & Pagnottoni, Paolo, 2024. "The topological structure of panel variance decomposition networks," Journal of Financial Stability, Elsevier, vol. 71(C).
- Greenwood-Nimmo, Matthew & Kočenda, Evžen & Nguyen, Viet Hoang, 2024.
"Detecting statistically significant changes in connectedness: A bootstrap-based technique,"
Economic Modelling, Elsevier, vol. 140(C).
- Matthew Greenwood-Nimmo & Evžen KoÄ enda & Viet Hoang Nguyen, 2019. "Does the Spillover Index Reflect Systemic Shocks? A Bootstrap-Based Probabilistic Analysis," Melbourne Institute Working Paper Series wp2019n17, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
- Matthew Greenwood-Nimmo & Evzen Kocenda & Viet Hoang Nguyen, 2024. "Detecting Statistically Significant Changes in Connectedness: A Bootstrap-based Technique," CAMA Working Papers 2024-51, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Matthew Greenwood-Nimmo & Evzen Kocenda & Viet Hoang Nguyen, 2021. "Does the Spillover Index Respond Significantly to Systemic Shocks? A Bootstrap-Based Probabilistic Analysis," Working Papers IES 2021/29, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2021.
- Matthew Greenwood-Nimmo & Evžen Kocenda & Viet Hoang Nguyen, 2023. "Does the Spillover Index Respond to Adverse Shocks? A Bootstrap-Based Probabilistic Analysis," CESifo Working Paper Series 10668, CESifo.
- Deng, Xiang & Xu, Fang, 2024. "Connectedness between international oil and China's new energy industry chain: A time-frequency analysis based on TVP-VAR model," Energy Economics, Elsevier, vol. 140(C).
- Seiler, Volker, 2024.
"The relationship between Chinese and FOB prices of rare earth elements – Evidence in the time and frequency domain,"
The Quarterly Review of Economics and Finance, Elsevier, vol. 95(C), pages 160-179.
- Volker Seiler, 2024. "The relationship between Chinese and FOB prices of rare earth elements – Evidence in the time and frequency domain," Post-Print hal-04549980, HAL.
- Shi, Huai-Long & Zhou, Wei-Xing, 2022. "Factor volatility spillover and its implications on factor premia," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
- Gustavo Peralta, 2016. "The Nature of Volatility Spillovers across the International Capital Markets," CNMV Working Papers CNMV Working Papers no. 6, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
- Chen, Bin-xia & Sun, Yan-lin, 2024. "Risk characteristics and connectedness in cryptocurrency markets: New evidence from a non-linear framework," The North American Journal of Economics and Finance, Elsevier, vol. 69(PA).
- Lyu, Chenyan & Do, Hung Xuan & Nepal, Rabindra & Jamasb, Tooraj, 2024.
"Volatility spillovers and carbon price in the Nordic wholesale electricity markets,"
Energy Economics, Elsevier, vol. 134(C).
- Lyu, Chenyan & Do, Hung Xuan & Nepal, Rabindra & Jamasb, Tooraj, 2023. "Volatility Spillovers and Carbon Price in the Nordic Wholesale Electricity Markets," Working Papers 5-2023, Copenhagen Business School, Department of Economics.
- Chenyan Lyu & Hung Xuan Do & Rabindra Nepal & Tooraj Jamasb, 2023. "Volatility Spillovers and Carbon Price in the Nordic Wholesale Electricity Markets," CAMA Working Papers 2023-36, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Gong, Xiao-Li & Zhao, Min & Wu, Zhuo-Cheng & Jia, Kai-Wen & Xiong, Xiong, 2023. "Research on tail risk contagion in international energy markets—The quantile time-frequency volatility spillover perspective," Energy Economics, Elsevier, vol. 121(C).
- Mehmet Balcilar & Ojonugwa Usman & Busra Agan, 2024. "On the connectedness of commodity markets: A critical and selective survey of empirical studies and bibliometric analysis," Journal of Economic Surveys, Wiley Blackwell, vol. 38(1), pages 97-136, February.
- Francis X. Diebold & Laura Liu & Kamil Yilmaz, 2018.
"Commodity Connectedness,"
Central Banking, Analysis, and Economic Policies Book Series, in: Enrique G. Mendoza & Ernesto Pastén & Diego Saravia (ed.),Monetary Policy and Global Spillovers: Mechanisms, Effects and Policy Measures, edition 1, volume 25, chapter 4, pages 097-136,
Central Bank of Chile.
- Francis X. Diebold & Laura Liu & Kamil Yilmaz, 2017. "Commodity Connectedness," PIER Working Paper Archive 17-003, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 02 Mar 2017.
- Francis X. Diebold & Laura Liu & Kamil Yilmaz, 2017. "Commodity Connectedness," NBER Working Papers 23685, National Bureau of Economic Research, Inc.
- Diebold, Francis X. & Liu, Laura & Yilmaz, Kamil, 2017. "Commodity connectedness," CFS Working Paper Series 575, Center for Financial Studies (CFS).
- Hu, Zinan & Borjigin, Sumuya, 2024. "The amplifying role of geopolitical Risks, economic policy Uncertainty, and climate risks on Energy-Stock market volatility spillover across economic cycles," The North American Journal of Economics and Finance, Elsevier, vol. 71(C).
- Diebold, Francis X. & Yilmaz, Kamil, 2015. "Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring," OUP Catalogue, Oxford University Press, number 9780199338306, Decembrie.
- Habibi, Hamidreza & Mohammadi, Hassan, 2022. "Return and volatility spillovers across the Western and MENA countries," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
- Liang, Chao & Goodell, John W. & Li, Xiafei, 2024. "Impacts of carbon market and climate policy uncertainties on financial and economic stability: Evidence from connectedness network analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 92(C).
- Abakah, Emmanuel Joel Aikins & Brahim, Mariem & Carlotti, Jean-Etienne & Tiwari, Aviral Kumar & Mensi, Walid, 2024. "Extreme downside risk connectedness and portfolio hedging among the G10 currencies," International Economics, Elsevier, vol. 178(C).
- Bastianin, Andrea & Casoli, Chiara & Galeotti, Marzio, 2023.
"The connectedness of Energy Transition Metals,"
Energy Economics, Elsevier, vol. 128(C).
- Bastianin, Andrea & Casoli, Chiara & Galeotti, Marzio, 2023. "The connectedness of Energy Transition Metals," FEEM Working Papers 336984, Fondazione Eni Enrico Mattei (FEEM).
- Andrea Bastianin & Chiara Casoli & Marzio Galeotti, 2023. "The connectedness of Energy Transition Metals," Working Papers 2023.11, Fondazione Eni Enrico Mattei.
- Xu, Danyang & Hu, Yang & Corbet, Shaen & Lang, Chunlin, 2024. "Return connectedness of green bonds and financial investment channels in China: Implications for hedging and regulation," Research in International Business and Finance, Elsevier, vol. 70(PA).
- Zhu, Yanli & Yang, Xian & Zhang, Chuanhai & Liu, Sihan & Li, Jiayi, 2024. "Asymmetric multi-scale systemic risk spillovers across international commodity futures markets: The role of infectious disease uncertainty," Journal of Commodity Markets, Elsevier, vol. 36(C).
- Stenfors, Alexis & Chatziantoniou, Ioannis & Gabauer, David, 2022.
"Independent policy, dependent outcomes: A game of cross-country dominoes across European yield curves,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
- Ioannis Chatziantoniou & David Gabauer & Alexis Stenfors, 2021. "Independent Policy, Dependent Outcomes: A Game of Cross-Country Dominoes across European Yield Curves," Working Papers in Economics & Finance 2021-06, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
More about this item
Keywords
Extreme climate; Green finance market; High-dimensional frequency domain spillover; Mixed-frequency methods; Risk spillover;All these keywords.
JEL classification:
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jimfin:v:151:y:2025:i:c:s0261560624002493. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/30443 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.