Risk Spillovers between China's Climate Policy Uncertainty and Green Assets
DOI:
https://doi.org/10.54691/qevy1k18Keywords:
China's Climate Policy Uncertainty; Green Assets; Risk Spillovers.Abstract
This paper uses a TVP-VAR-DY model to examine the dynamic risk spillover effects between China's climate policy uncertainty (CCPU) and green assets. Monthly data from 2017 to 2026 are selected, covering assets such as green power, CSI New Energy, Shanghai Stock Exchange Green Bond, WTI crude oil, and gold ETFs. The spillover effects among these variables are analyzed from both static and dynamic perspectives. The analysis shows that there are significant time-varying and asymmetric spillover effects between green assets and CCPU, especially during major climate events and policy adjustments. WTI crude oil has the most significant impact on CCPU, while gold ETFs have a positive spillover effect on green bonds and CSI New Energy. The results indicate that CCPU has a significant dynamic impact on green assets. Investor and policymakers should closely monitor policy changes to optimize asset allocation and enhance risk management capabilities.
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