【摘要】This study investigates the asymmetric spillover network connectedness of policy uncertainty, the fossil fuel  energy market, and global ESG investment by using a time-frequency domain analysis. The study employs a timevarying  fflter for the empirical mode decomposition method and Pearson correlation coefffcient to distinguish  signals’ dynamic frequency and amplitude. We combine a two-state fractionally integrated asymmetric power  autoregressive conditional heteroskedasticity with asymmetric time-varying parameter vector autoregression  and vector autoregression-common factor variance decomposition. The Vector Auto Regression-common factor  model is also considered. The results demonstrate that when the economy runs smoothly, risks originating from  the natural gas market have indirect spillover effects on emerging economies’ ESG investment. When normal  economic ffuctuations occur, risks arising from fossil fuel energy markets and US climate policy uncertainty exert  separate direct and indirect spillovers to the global ESG investment. Second, when the economy declines,  different types of spillovers occur from US economic policy uncertainty (EPU) to global ESG investment. During  the recession, greater risks in the crude oil market and the uncertainty in China’s economic policy caused  separate indirect spillovers to advanced economies’ ESG investment. Third, with the continuous occurrence of  irregular events, asymmetric spillovers can originate from the natural gas market and US EPU. When extreme  events occur, positive risks from China’s economic policy can be indirectly transmitted to emerging economies’  ESG investment, while negative risks from the US monetary policy can be directly transferred to global ESG  investment. Finally, the crude oil market can directly transmit an idiosyncratic risk to global ESG investment. 

【关键词】Policy uncertainty and fossil fuel energy  Global ESG investment  Asymmetric time-frequency spillover networks 

【作者单位】湖南农业大学经济学院

【出版时间】2024.05.08

【全文下载】Asymmetric spillover and network connectedness of policy uncertainty fossil fuel energy and global ESG investment(5)