气候变化领域集成服务门户(CCPortal): Short- and long-run cross-border European sustainability interdependences

CCPortal

DOI	10.1007/s10479-023-05765-w
	Short- and long-run cross-border European sustainability interdependences
	Yfanti, S.; Karanasos, M.; Wu, J.; Vourvachis, P.
发表日期	2024
ISSN	0254-5330
EISSN	1572-9338
英文摘要	The increasing interest in climate change risks, environmental degradation, corporate social responsibility, and environmental, social, governance principles has motivated the recent soaring focus of policymakers, market practitioners, and academics on sustainable investments. In this vein, we investigate the cross-country interconnectedness among sustainability equity indices. Using a bivariate Dynamic Conditional Correlations-Mixed Data Sampling (DCC-MIDAS) specification, we study the short- and long-run time-varying dependence dynamics between European and five international (Australia, Brazil, Japan, US, and Canada) sustainability benchmarks. Our cross-country dynamic correlation analysis identifies the interdependence types and hedging characteristics in the short- and long-run across the business cycle. The significant macro- and crisis-sensitivity of the sustainability correlation pattern unveils strong countercyclical cross-country sustainability interlinkages for most index pairs and crisis periods. We further reveal the high- and low-frequency contagion transmitters or interdependence drivers in the macro environment during the 2008 global financial turmoil, the European sovereign debt crisis, and the recent pandemic-induced crash. Finally, we demonstrate that climate change risks and policy considerations are potent catalysts for both countercyclical and procyclical cross-border sustainability spillovers.
英文关键词	Climate change risk; Contagion; DCC-MIDAS; Economic policy uncertainty; ESG investment; Financial/health crisis; Sustainability interdependence
语种	英语
WOS研究方向	Operations Research & Management Science
WOS类目	Operations Research & Management Science
WOS记录号	WOS:001134876800001
来源期刊	ANNALS OF OPERATIONS RESEARCH
文献类型	期刊论文
条目标识符	http://gcip.llas.ac.cn/handle/2XKMVOVA/308767
作者单位	University of London; Queen Mary University London; Brunel University; Loughborough University
推荐引用方式 GB/T 7714	Yfanti, S.,Karanasos, M.,Wu, J.,et al. Short- and long-run cross-border European sustainability interdependences[J],2024.
APA	Yfanti, S.,Karanasos, M.,Wu, J.,&Vourvachis, P..(2024).Short- and long-run cross-border European sustainability interdependences.ANNALS OF OPERATIONS RESEARCH.
MLA	Yfanti, S.,et al."Short- and long-run cross-border European sustainability interdependences".ANNALS OF OPERATIONS RESEARCH (2024).