Time-varying, frequency-domain, and quantile spillovers across energy and financial markets under climate policy uncertainty: evidence from TVP-VAR-SV, BK, and QVAR models

日本語

本論文は、気候政策の不確実性がエネルギー市場と金融市場間のスピルオーバー効果に与える影響を、時系列・周波数領域・分位点の各側面から分析。TVP-VAR-SV、BK、QVARモデルを用いて、不確実性ショックが市場間の連動性を非線形に変化させることを実証。気候リスクの金融市場への波及経路を解明し、政策立案やリスク管理への示唆を提供。

English

This paper investigates spillover effects between energy and financial markets under climate policy uncertainty using TVP-VAR-SV, BK, and QVAR models. It finds that climate policy uncertainty nonlinearly affects market connectedness across time, frequency, and quantiles. The results provide insights for risk management and policy design by elucidating transmission channels of climate risks into financial markets.

日本のGX文脈において

日本のGX政策（例：2050年カーボンニュートラル）に伴う政策不確実性がエネルギー・金融市場に与える影響を理解する上で示唆に富む。特に、日本市場での気候リスクの波及経路分析に応用可能。

In the global GX context

Global relevance: contributes to understanding how climate policy uncertainty (e.g., evolving regulations, carbon pricing) reshapes risk transmission between energy and financial systems, informing climate stress testing and transition risk management.