Assessing the extreme risk spillover effects of climate policy uncertainty on global ESG stocks
気候政策の不確実性が世界のESG株式に及ぼす極端なリスク波及効果の評価 (AI 翻訳)
Yiming Chen, Yining Guan, Fei Wu, Kun Guo
🤖 gxceed AI 要約
日本語
2014〜2023年の6カ国・地域のESG株式データを用い、GARCH-Copula-CoVaRモデルで気候政策不確実性（CPU）の極端なリスク波及効果を分析。CPUは大半のESG株式にリスク影響を与え、上昇リスクが下降リスクよりやや大きい。地域・産業によって影響が異なり、情報サービス・金融・ITセクターで強く、ヘルスケア・工業では弱い。企業の戦略や気候適応力がリスク感受性に関連する。
English
Using GARCH-Copula-CoVaR on 2014-2023 ESG stock data from six major regions, this paper finds that climate policy uncertainty (CPU) generates extreme risk spillovers to most ESG stocks, with upside risks slightly larger than downside. Effects vary by region and industry: information services, finance, and IT are strongly affected, while healthcare and industrials are less. Firm-level strategies and climate adaptability explain differences.
Unofficial AI-generated summary based on the public title and abstract. Not an official translation.
📝 gxceed 編集解説 — Why this matters
日本のGX文脈において
日本企業にとって、気候政策の不確実性がESG株式のリスクに与える影響は、投資家対応やリスク管理の重要性を示す。SSBJ開示や統合報告書での気候リスク情報の充実が、投資家のリスク評価に寄与する可能性がある。
In the global GX context
This paper contributes to global climate finance literature by quantifying how climate policy uncertainty transmits to ESG equity markets, relevant for TCFD/ISSB-aligned risk disclosure and transition finance. It provides cross-regional evidence that can inform investors and policymakers on climate-related market risks.
👥 読者別の含意
🔬研究者:Provides empirical evidence on climate policy uncertainty's risk spillovers to ESG stocks, useful for extending climate finance models.
🏢実務担当者:Highlights sectors and regions more vulnerable to climate policy risk, aiding ESG investment risk management and disclosure strategies.
🏛政策担当者:Suggests that climate policy uncertainty can destabilize sustainable markets, underscoring the need for clear, predictable climate policies.
📄 Abstract（原文）
As climate change intensifies, the impact of climate policy uncertainty on sustainable financial markets is becoming increasingly evident. This paper uses the GARCH-Copula-CoVaR model to empirically analysis the extreme risk spillover effects of climate policy uncertainty on global ESG stock returns, based on ESG stock data from six major countries and regions around the world between 2014 and 2023. We found that climate policy uncertainty generates extreme risk impacts for the vast majority of ESG stock returns, with upside risk impacts slightly greater than downside ones. The risk impacts for ESG stock returns vary across different regions; CPU significantly exerts positive risk impacts on US and most Japanese and Korean ESG stock returns, while it shows stronger upside risk impacts on European and Chinese ESG stock returns compared to downside ones. Industry analysis reveals that stock returns of the information services, finance and information technology sectors exhibit strong positive risk impacts in a high CPU environment, while stock returns of healthcare and industrial ESG sectors are less affected. Furthermore, the risk performance differences of single ESG stocks when CPU increases are closely related to their development strategies, operating conditions, and climate adaptability. This research provides new empirical evidence for understanding the transmission of climate transition risks in financial markets, providing important information for improving ESG investment risk management.
🔗 Provenance — このレコードを発見したソース
- openalex https://doi.org/10.1016/j.iref.2026.105705first seen 2026-08-11 04:40:38
🔔 こうした論文の新着を逃したくない方は キーワードアラート に登録（無料・3キーワードまで）。
gxceed は公開メタデータに基づく研究支援データセットです。要約・翻訳・解説は AI 支援で生成されています。 最終的な解釈・検証は利用者が原典資料に基づいて行うことを前提とします。