A5051763256- Market Dynamics and Volatility
- Financial Markets and Investment Strategies
- Energy, Environment, Economic Growth
- Climate Change Policy and Economics
- Fiscal Policies and Political Economy
- Sustainable Finance and Green Bonds
- Monetary Policy and Economic Impact
- Financial Risk and Volatility Modeling
- Energy, Environment, and Transportation Policies
- Global Energy and Sustainability Research
- Stochastic processes and financial applications
- Forecasting Techniques and Applications
- scientometrics and bibliometrics research
- Housing Market and Economics
- Decision-Making and Behavioral Economics
- Insurance and Financial Risk Management
- Blockchain Technology Applications and Security
- Data Analysis with R
- Sports Analytics and Performance
- Meta-analysis and systematic reviews
- Global Financial Crisis and Policies
University of Manchester
2020-2024
University of Edinburgh
2023-2024
European Central Bank
2021-2024
Manchester University
2021-2023
This paper examines the effect of climate uncertainty on spillover effects across European conventional and environmental, social, governance (ESG) financial markets via novel measures physical transitional risk proxies obtained from textual analysis. Analyzing daily data for stocks in MSCI Europe ESG Leaders Index various Euro based bond indexes over period January 3, 2014–September 30, 2021, we show that shock transmissions between assets are significantly lower during periods high...
Under its climate regulation, the EU is expected to become first continent with a net-zero emissions balance. We study pricing of risks, physical and transition, within European markets. Using text-analysis, we construct two novel (daily) transition risk indicators for period 2005–2021 global vocabularies. Applying our indices an asset test framework, document emergence economically significant premia post-2015. From firm-level analysis, using firms' GHG emissions, intensity, environmental,...
We examine the existence of physical and transition climate risk premia in euro areaequity markets. To do so, we develop two novel indicators, basedon text analysis, which are then used to gauge presence premia. Resultssuggest that for both, risk, have increasedsince time Paris Agreement. In addition, investigate metrics may be usedby investors proxy a firm's exposure either or risk. this end, weconstruct portfolios according most common firm-specific estimatethe sensitivity these our...
Climate change affects price fluctuations in the carbon, energy and metals markets through physical transition risks. risk is mainly caused by extreme weather, natural disasters other events climate change, whereas results from gradual switchover to a low-carbon economy. Given that connectedness between financial may be affected various factors such as economic transformation, understanding different roles of on higher-moment across has important implications for investors construct...
We study the predictive value of climate risks for subsequent financial stress in a sample daily data running from October 2006 to December 2022 thirteen countries, which include China, ten European Union (EU) United Kingdom (UK), and States (US). The risk indicators are result text-based approach combines term frequency-inverse document frequency cosine-similarity techniques. Given persistence as well importance spillover effects other we use random forests, machine-learning technique...
Abstract We examine the impact of climate risks on nexus clean energy and technology stocks using a time-varying correlation model. find that physical transition are positively associated with long-term between stock indices, whereas effect risk is more robust to different sample periods alternative indices. On contrary, short-term tends decrease after shocks risk, since react strongly than stocks.
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ABSTRACT This study investigates the impact of climate policy uncertainty (CPU) on energy and metal commodity futures markets by employing quantile regression, which accounts for various (bearish, normal, bullish) markets. Our results reveal that CPU shocks is heterogeneous market condition‐specific. Particularly, exerts a significantly negative effect all commodities, except natural gas, in bearish market. Under normal market, returns varies across commodities whereas bullish mixed. The...
This paper studies the pricing of climate risks in EU equity markets. Using text-analysis, we construct two novel physical and transition risk indicators from news media coverage able to dissect change for period 2005-2021. We find that rises (physical) typically increase (decrease) excess returns green (brown) stocks, with such effect being stronger after 2015. Firms good ESG, environmental scores, low GHG emissions intensity outperform when rises. High level firms, as well mining...
The transition from fossil fuels toward cleaner energy necessitates technological innovation, suggesting not only an association between clean and technology stocks but also a potential impact of climate risk on this association. In paper, we examine the nexus using time-varying correlation model. We find physical to be positively associated with long-term stocks, whereas effect is more persistent. contrast, short-term tends decrease following shocks risk, as react stronger than stocks. Our...
This paper presents a novel take on the effect of uncertainty investor learning about managerial skills by examining fund flow-performance relationship in ESG rated funds context climate uncertainty. Utilizing large sample mutual domiciled Australia and New Zealand recently developed transition physical risk indexes for Australia-Oceania region, we show that regarding manager is affected not only nature faced decision makers, but also sustainability ratings under consideration. While...
As global biodiversity declines, market participants are increasingly attentive to the financial implications of risks. We study effects risks on commodities futures returns using a novel risk index over 2005-2022. Biodiversity can’t predict returns, suggesting underestimation. Using dynamic conditional correlations (DCCs), we further show that precious metals offer diversification against risks, while energy can serve as hedge or safe haven. However, agricultural don’t provide protection...
We investigate whether text-based physical or transition climate risks forecast the daily volume of gold trade contracts. Given count-valued nature data, we employa log-linear Poisson integer-valued generalized autoregressive conditional heteroskedasticity(IN-GARCH) model with a climate-related covariate. detect that have asignificant predictive power for at 5- and 22-day-ahead horizons. Additionally,from full-sample analysis, it emerges positively relate volume. Combining these findings,...
We examine the effect of climate uncertainty on spillover effects across European conventional and ESG financial markets via novel measures physical transitional risk proxies obtained from textual analysis. While stock market index serves as net shock transmitter to assets, we find that transmissions between two asset classes are significantly lower during periods high uncertainty, suggesting investments can offer investors diversification benefits against climate-driven shocks. Indeed, by...