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Climate change and Japanese economic policy uncertainty: Asymmetric analysis

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  • Zhang, Jiaming
  • Zou, Yang
  • Xiang, Yitian
  • Guo, Songlin

Abstract

Japan has always formulated various corresponding policies in response to climate change. This paper explores the asymmetric impact of climate change on Japan's economic policy uncertainty (JEPU) by comparing text-based indicators (climate policy uncertainty, CPU) and physical indicators (El Niño Southern Oscillation, ENSO). The asymmetric Granger test finds that CPU has no significant impact on JEPU. However, positive ENSO shocks can lead to an increase in JEPU. Different ENSO shocks may differently drive JEPU in all runs. Thus, this kind of text-based indicator may not be appropriate when exploring the impact of climate change on Japanese economic policy.

Suggested Citation

  • Zhang, Jiaming & Zou, Yang & Xiang, Yitian & Guo, Songlin, 2023. "Climate change and Japanese economic policy uncertainty: Asymmetric analysis," Finance Research Letters, Elsevier, vol. 56(C).
    • Handle: RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323005378
    DOI: 10.1016/j.frl.2023.104165
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    Cited by:

    1. Sun, Yanpeng & Song, Yuru & Long, Chi & Qin, Meng & Lobonţ, Oana-Ramona, 2023. "How to improve global environmental governance? Lessons learned from climate risk and climate policy uncertainty," Economic Analysis and Policy, Elsevier, vol. 80(C), pages 1666-1676.
    2. Tedeschi, Marco & Foglia, Matteo & Bouri, Elie & Dai, Peng-Fei, 2024. "How does climate policy uncertainty affect financial markets? Evidence from Europe," Economics Letters, Elsevier, vol. 234(C).

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    More about this item

    Keywords

    Climate policy uncertainty; El Niño-southern oscillation; Japanese economic policy uncertainty; Asymmetric Granger-causality;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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