Sustainable Development Goals (SDGs) Research Impact
Embedded Files
Ensure access to affordable, reliable, sustainable and modern energy for all
Bouri, E., Rognone, L., Sokhanvar, A. & Wang, Z. (2023). From climate risk to the returns and volatility of energy assets and green bonds: A predictability analysis under various conditions. Technological Forecasting and Social Change. 194, p. 1-22 22 p., 122682. [Open Access]
ABSTRACT
The importance of climate risk as a source of systemic risk for financial markets and the decisions of investors, portfolio managers, and regulators is growing. We examine the directional predictability from two climate risk measures, transition risk and physical risk, to the returns and volatility of European brown and green energy stocks, European carbon emission allowances, and global green bonds. Using daily data, we apply a cross-quantilogram approach in a time-varying setting to measure potential differences in the predictability across quantiles and over various crisis periods. The return predictability results are more pronounced for transition risk than physical risk, especially for brown energy stocks and carbon emission allowances, and they generally vary across periods and markets conditions. The predictability of volatility is also significant at specific time periods and volatility states, especially from transition risk, and the sign of the predictability is positive for brown energy and carbon emission allowances whereas it is negative for green bonds. We show that a lower-than-expected level of discussion about the transition process leads to a heightened volatility of brown energy markets. These findings have important implications regarding climate risks assessment on return and volatility predictability and climate risk and portfolio decarbonization under COP26.
UN SDGsThis output contributes to the following UN Sustainable Development Goals (SDGs): 7 Affordable and Clean Energy; 13 Climate Action
The importance of climate risk as a source of systemic risk for financial markets and the decisions of investors, portfolio managers, and regulators is growing. We examine the directional predictability from two climate risk measures, transition risk and physical risk, to the returns and volatility of European brown and green energy stocks, European carbon emission allowances, and global green bonds. Using daily data, we apply a cross-quantilogram approach in a time-varying setting to measure potential differences in the predictability across quantiles and over various crisis periods. The return predictability results are more pronounced for transition risk than physical risk, especially for brown energy stocks and carbon emission allowances, and they generally vary across periods and markets conditions. The predictability of volatility is also significant at specific time periods and volatility states, especially from transition risk, and the sign of the predictability is positive for brown energy and carbon emission allowances whereas it is negative for green bonds. We show that a lower-than-expected level of discussion about the transition process leads to a heightened volatility of brown energy markets. These findings have important implications regarding climate risks assessment on return and volatility predictability and climate risk and portfolio decarbonization under COP26.
UN SDGsThis output contributes to the following UN Sustainable Development Goals (SDGs): 7 Affordable and Clean Energy; 13 Climate Action
Bouri, E., Dudda, T. L., Rognone, L., & Walther, T. (2023). Climate risk and the nexus of clean energy and technology stocks. Annals of Operations Research. [Open Access]
ABSTRACT
We examine the impact of climate risks on the nexus of clean energy and technology stocks using a time-varying correlation model. We find that physical and transition climate risks are positively associated with the long-term correlation between clean energy and technology stock indices, whereas the effect of transition risk is more robust to different sample periods and alternative stock indices. On the contrary, the short-term correlation tends to decrease after shocks to physical risk, since clean energy stocks react more strongly to physical risk shocks than technology stocks.
UN SDGsThis output contributes to the following UN Sustainable Development Goals (SDGs): 7 Affordable and Clean Energy; 13 Climate Action
We examine the impact of climate risks on the nexus of clean energy and technology stocks using a time-varying correlation model. We find that physical and transition climate risks are positively associated with the long-term correlation between clean energy and technology stock indices, whereas the effect of transition risk is more robust to different sample periods and alternative stock indices. On the contrary, the short-term correlation tends to decrease after shocks to physical risk, since clean energy stocks react more strongly to physical risk shocks than technology stocks.
UN SDGsThis output contributes to the following UN Sustainable Development Goals (SDGs): 7 Affordable and Clean Energy; 13 Climate Action
Page updated
Google Sites
Report abuse