贾尚晖教授与金佳宇助理教授以及博士生郭楠楠关于气候政策不确定性风险对主权债券收益波动影响展开研究,相关成果发表在Journal of Cleaner Production(我校AA期刊,JCR分区Q1)。论文探讨了2012年至2021年间43个经济体中气候政策不确定性(Climate Policy Uncertainty, CPU)风险与主权债券收益波动(Sovereign Bond Volatility, SBV)之间的关系。研究还考察了气候政策不确定性的波动性和不对称性如何影响主权债券收益波动。研究利用GARCH-MIDAS模型处理混频数据,并应用DCC-GARCH和TVP-VAR-DY模型研究动态相关性和溢出效应。实证结果显示,气候政策不确定性对主权债券收益波动产生负面影响,而气候政策不确定性的波动性或正向冲击则倾向于提高主权债券收益波动,尤其是在气候适应性较强的发达经济体中。此外,关键的国际事件可以影响气候政策不确定性(或其波动性)与主权债券收益波动之间的动态相关性和溢出效应,特别是在高度重视气候政策的时期。从主权债券系统内部的风险传递角度来看,气候政策不确定性及其波动性在大多数经济体中对主权债券收益波动产生正向净溢出效应。本研究为投资者和政策制定者提供了宝贵的见解,帮助他们有效管理气候政策不确定性风险,推动可持续发展目标的实现。
论文题目:Climate policy uncertainty risk and sovereign bond volatility
英文摘要:This study investigates the relationship between climate policy uncertainty (CPU) risk and the volatility of sovereign bond return (SBV) in 43 economies from 2012 to 2021. It also innovatively examines how the volatility and asymmetry of CPU affect SBV. The study utilizes the GARCH-MIDAS model to handle mixed-frequency data and applies the DCC-GARCH and TVP-VAR-DY models to investigate dynamic correlations and spillover effects. The empirical results show that CPU negatively impacts SBV, while CPU’s volatility or positive shocks tend to elevate SBV, especially in more climate-resilient developed economies. In addition, critical international events can influence dynamic correlations and spillover effects between CPU (or its volatility) and SBV, particularly when climate policy is highly valued. From a risk transmission standpoint within the sovereign bond system, CPU and its volatility exert positive net spillover effects on SBV in the majority of economies. This study offers valuable insights for investors and policymakers, aligning with the goals of sustainable development for effective management of CPU risks.
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