Asymmetric spillover and network connectedness of policy uncertainty, fossil fuel energy, and global ESG investment
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 time-varying filter for the empirical mode decomposition method and Pearson correlatio...
| Main Authors: | , , |
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| Other Authors: | |
| Format: | Journal Article |
| Language: | English |
| Published: |
2024
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| Subjects: | |
| Online Access: | https://hdl.handle.net/10356/180300 |
| _version_ | 1826179044724441088 |
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| author | Lin, Ling Jiang, Yong Zhou, Zhongbao |
| author2 | School of Social Sciences |
| author_facet | School of Social Sciences Lin, Ling Jiang, Yong Zhou, Zhongbao |
| author_sort | Lin, Ling |
| collection | NTU |
| description | 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 time-varying filter for the empirical mode decomposition method and Pearson correlation coefficient 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 fluctuations 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. |
| first_indexed | 2025-03-09T13:59:02Z |
| format | Journal Article |
| id | ntu-10356/180300 |
| institution | Nanyang Technological University |
| language | English |
| last_indexed | 2025-03-09T13:59:02Z |
| publishDate | 2024 |
| record_format | dspace |
| spelling | ntu-10356/1803002024-10-01T01:50:31Z Asymmetric spillover and network connectedness of policy uncertainty, fossil fuel energy, and global ESG investment Lin, Ling Jiang, Yong Zhou, Zhongbao School of Social Sciences Social Sciences Policy uncertainty and fossil fuel energy Global ESG investment 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 time-varying filter for the empirical mode decomposition method and Pearson correlation coefficient 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 fluctuations 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. We gratefully acknowledge the financial support from the National Social Science Foundation of China (No. 23AJY005), Hunan Provincial Key Laboratory (No. 2020TP1013), National Science Foundation of China (No. 72101120), Hunan Philosophy and Social Sciences achievement evaluation committee. (No. XSP20YBZ123), the Excellent Youth Fund project of the Hunan Provincial Department of Education. (No. 2021B0195). 2024-10-01T01:50:31Z 2024-10-01T01:50:31Z 2024 Journal Article Lin, L., Jiang, Y. & Zhou, Z. (2024). Asymmetric spillover and network connectedness of policy uncertainty, fossil fuel energy, and global ESG investment. Applied Energy, 368, 123432-. https://dx.doi.org/10.1016/j.apenergy.2024.123432 0306-2619 https://hdl.handle.net/10356/180300 10.1016/j.apenergy.2024.123432 2-s2.0-85193439882 368 123432 en Applied Energy © 2024 Elsevier Ltd. All rights are reserved, including those for text and data mining, AI training, and similar technologies. |
| spellingShingle | Social Sciences Policy uncertainty and fossil fuel energy Global ESG investment Lin, Ling Jiang, Yong Zhou, Zhongbao Asymmetric spillover and network connectedness of policy uncertainty, fossil fuel energy, and global ESG investment |
| title | Asymmetric spillover and network connectedness of policy uncertainty, fossil fuel energy, and global ESG investment |
| title_full | Asymmetric spillover and network connectedness of policy uncertainty, fossil fuel energy, and global ESG investment |
| title_fullStr | Asymmetric spillover and network connectedness of policy uncertainty, fossil fuel energy, and global ESG investment |
| title_full_unstemmed | Asymmetric spillover and network connectedness of policy uncertainty, fossil fuel energy, and global ESG investment |
| title_short | Asymmetric spillover and network connectedness of policy uncertainty, fossil fuel energy, and global ESG investment |
| title_sort | asymmetric spillover and network connectedness of policy uncertainty fossil fuel energy and global esg investment |
| topic | Social Sciences Policy uncertainty and fossil fuel energy Global ESG investment |
| url | https://hdl.handle.net/10356/180300 |
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