From climate risk to the returns and volatility of energy assets and green bonds: A predictability analysis under various conditions
Электронный научный архив УРФУ
Информация об архиве | Просмотр оригинала| Поле | Значение | |
| Заглавие |
From climate risk to the returns and volatility of energy assets and green bonds: A predictability analysis under various conditions
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| Автор |
Bouri, E.
Rognone, L. Sokhanvar, A. Wang, Z. |
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| Тематика |
CARBON EMISSION ALLOWANCES
CROSS-QUANTILOGRAM EUROPEAN MARKETS GREEN AND BROWN ENERGY GREEN BONDS PHYSICAL AND TRANSITION RISK QUANTILE DEPENDENCY AND PREDICTABILITY CARBON INVESTMENTS POWER MARKETS CARBON EMISSION ALLOWANCE CARBON EMISSIONS CROSS-QUANTILOGRAM EMISSION ALLOWANCES ENERGY EUROPEAN MARKETS GREEN AND BROWN ENERGY GREEN BOND PHYSICAL AND TRANSITION RISK QUANTILE DEPENDENCY AND PREDICTABILITY RISK ASSESSMENT CARBON EMISSION CLIMATE EFFECT ENERGY MARKET ENVIRONMENTAL ECONOMICS FINANCIAL MARKET PREDICTION EUROPE |
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| Описание |
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. © 2023 Elsevier Inc.
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| Дата |
2024-04-05T16:26:52Z
2024-04-05T16:26:52Z 2023 |
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| Тип |
Article
Journal article (info:eu-repo/semantics/article) |info:eu-repo/semantics/acceptedVersion |
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| Идентификатор |
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, 122682. https://doi.org/10.1016/j.techfore.2023.122682
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), [122682]. https://doi.org/10.1016/j.techfore.2023.122682 0040-1625 Final All Open Access, Green https://www.scopus.com/inward/record.uri?eid=2-s2.0-85163758276&doi=10.1016%2fj.techfore.2023.122682&partnerID=40&md5=9232884b259d963303385198bf05d4b7 https://www.pure.ed.ac.uk/ws/files/361130223/BouriEtal2023TFSCFromClimateRiskToTheReturns.pdf http://elar.urfu.ru/handle/10995/130595 10.1016/j.techfore.2023.122682 85163758276 001026118700001 |
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| Язык |
en
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| Права |
Open access (info:eu-repo/semantics/openAccess)
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| Формат |
application/pdf
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| Издатель |
Elsevier Inc.
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| Источник |
Technological Forecasting and Social Change
Technological Forecasting and Social Change |
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