Article ; Online: Geopolitical risk, economic policy uncertainty, and dynamic connectedness between clean energy, conventional energy, and food markets.
Environmental science and pollution research international
2023 Volume 31, Issue 3, Page(s) 4925–4945
Abstract: The global financial markets suffered unprecedented shocks, leading to significantly increased uncertainty in the markets due to various economic and financial recessions and geopolitical tensions, resulting in substantial fluctuations in market prices. ... ...
| Abstract | The global financial markets suffered unprecedented shocks, leading to significantly increased uncertainty in the markets due to various economic and financial recessions and geopolitical tensions, resulting in substantial fluctuations in market prices. Therefore, this paper aims to identify the response of the clean energy, conventional energy, and food markets to economic uncertainty and political tension while considering the influence of numerous crises and political conflicts. To achieve this, we employ the DCC-GARCH-based connectedness approach and the quantile-on-quantile model on monthly data spanning from May 2008 to June 2023. The results provide evidence of the sensitivity of dynamic volatility spillovers between financial assets to GEPU and GPR during major economic and financial crises and geopolitical events. Notably, this sensitivity increases significantly during the global financial crisis (GFC), the European debt crisis, Brexit, the US presidential election, the COVID-19 pandemic, and the Russian-Ukrainian war. However, the investigation of the tail dependence structure reveals that the relationship between uncertainties and total volatility connectedness across various market conditions appears to be asymmetric and heterogeneous. Our findings assist policymakers and green investors in designing the most effective policies to mitigate the impact of uncertainties on both conventional and green investments. This is achieved through insightful knowledge about the primary drivers of contagion among these indices, all while not compromising sustainability goals. |
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| MeSH term(s) | Humans ; European Union ; Pandemics ; Uncertainty ; United Kingdom ; Investments |
| Language | English |
| Publishing date | 2023-12-18 |
| Publishing country | Germany |
| Document type | Journal Article |
| ZDB-ID | 1178791-0 |
| ISSN | 1614-7499 ; 0944-1344 |
| ISSN (online) | 1614-7499 |
| ISSN | 0944-1344 |
| DOI | 10.1007/s11356-023-31379-7 |
| Database | MEDical Literature Analysis and Retrieval System OnLINE |
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