气候变化领域集成服务门户(CCPortal): Common volatility shocks driven by the global carbon transition

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DOI	10.1016/j.jeconom.2023.05.008
	Common volatility shocks driven by the global carbon transition
	Campos-Martins, Susana; Hendry, David F.
发表日期	2024
ISSN	0304-4076
EISSN	1872-6895
起始页码	239
结束页码	1
卷号	239 期号:1
英文摘要	We propose a novel approach to measure the global effects of climate change news on financial markets. For that purpose, we first calculate the global common volatility of the oil and gas industry. Then we project it on climate-related shocks constructed using text-based proxies of climate change news. We show that rising concerns about the energy transition make oil and gas share prices move at the global scale, controlling for shocks to the oil price, US and world stock markets. Despite the clear exposure of oil and gas companies to carbon transition risk, not all geoclimatic shocks are alike. The signs and magnitudes of the impacts differ across climate risk drivers. Regarding sentiment, climate change news tends to create turmoil only when the news is negative. Moreover, the adverse effect is amplified by oil price movements but weakened by stock market shocks. Finally, our findings point out climate news materialises when it reaches the global scale, supporting the relevance of modelling geoclimatic volatility. (c) 2023 The Author(s). Published by Elsevier B.V. This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/).
英文关键词	Geoclimatic volatility shocks; Global common volatility; Multiplicative factor models; Climate transition risk; Oil and gas industry
语种	英语
WOS研究方向	Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences
WOS类目	Economics ; Mathematics, Interdisciplinary Applications ; Social Sciences, Mathematical Methods
WOS记录号	WOS:001198982200001
来源期刊	JOURNAL OF ECONOMETRICS
文献类型	期刊论文
条目标识符	http://gcip.llas.ac.cn/handle/2XKMVOVA/308816
作者单位	Universidade Catolica Portuguesa; University of Oxford
推荐引用方式 GB/T 7714	Campos-Martins, Susana,Hendry, David F.. Common volatility shocks driven by the global carbon transition[J],2024,239(1).
APA	Campos-Martins, Susana,&Hendry, David F..(2024).Common volatility shocks driven by the global carbon transition.JOURNAL OF ECONOMETRICS,239(1).
MLA	Campos-Martins, Susana,et al."Common volatility shocks driven by the global carbon transition".JOURNAL OF ECONOMETRICS 239.1(2024).