气候变化领域集成服务门户(CCPortal): Carbon reduction attention and financial market stress: A network spillover analysis based on quantile VAR modeling

CCPortal

DOI	10.1016/j.jenvman.2024.120640
	Carbon reduction attention and financial market stress: A network spillover analysis based on quantile VAR modeling
	Zhang, Qingjun; Wei, Renyi
发表日期	2024
ISSN	0301-4797
EISSN	1095-8630
起始页码	356
卷号	356
英文摘要	As climate change intensifies, attention to the issue of carbon emission reduction has gradually increased. This research constructs a complete set of indicators of carbon reduction attention and financial market stress and applies the quantile VAR method to calculate the volatility spillover between carbon reduction attention and financial market stress. We conclude with the following. Firstly, a relatively close volatility spillover association exists between carbon reduction attention and financial market stress. In the research system, carbon reduction attention mainly assumes the role of information receiver. Additionally, when examining the spillover status in different quantiles, the total spillover level shows an irregular bowl structure, while the net spillover level of each variable has different shapes. Secondly, the dynamic spillover level in the extreme quantile condition maintains a connectivity range of 60-80%, significantly higher than that of the median condition. Finally, this study finds two sets of significant complementary spillovers within the system, namely, carbon reduction attention - crude oil market stress and stock market stress - real estate market stress, which provide investors with an opportunity to explore the potential of the carbon reduction attention and real estate market stress in the future.
英文关键词	Carbon reduction attention; Financial market stress; Systemic risks; Quantile VAR
语种	英语
WOS研究方向	Environmental Sciences & Ecology
WOS类目	Environmental Sciences
WOS记录号	WOS:001218463400001
来源期刊	JOURNAL OF ENVIRONMENTAL MANAGEMENT
文献类型	期刊论文
条目标识符	http://gcip.llas.ac.cn/handle/2XKMVOVA/294361
作者单位	Tianjin University of Finance & Economics; Tianjin University of Finance & Economics
推荐引用方式 GB/T 7714	Zhang, Qingjun,Wei, Renyi. Carbon reduction attention and financial market stress: A network spillover analysis based on quantile VAR modeling[J],2024,356.
APA	Zhang, Qingjun,&Wei, Renyi.(2024).Carbon reduction attention and financial market stress: A network spillover analysis based on quantile VAR modeling.JOURNAL OF ENVIRONMENTAL MANAGEMENT,356.
MLA	Zhang, Qingjun,et al."Carbon reduction attention and financial market stress: A network spillover analysis based on quantile VAR modeling".JOURNAL OF ENVIRONMENTAL MANAGEMENT 356(2024).