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Autor:innen: 
Erscheinungsjahr: 
2025
Quellenangabe: 
[Journal:] East Asian Economic Review (EAER) [ISSN:] 2508-1667 [Volume:] 29 [Issue:] 3 [Year:] 2025 [Pages:] 303-335
Verlag: 
Korea Institute for International Economic Policy (KIEP), Sejong-si
Zusammenfassung: 
This study examines the dynamic impact of Global Economic Policy Uncertainty (GEPU), Climate Policy Uncertainty (CPU), and Geopolitical Risk (GPR) on sustainable markets (DJSI and green bonds), conventional equity market (S&P 500), and commodity markets (oil and gold). Utilizing monthly data from September 2014 to June 2024, the analysis employs a Time-Varying Parameter Vector Autoregression (TVP-VAR) model to capture the dynamic linkages and volatility spillover mechanisms across global financial markets and key risk factors. Unlike prior research focusing on a single uncertainty factor, this study integrates three distinct risk factors accounting for multifaceted global risk, supported by Principal Component Analysis (PCA), across multiple financial markets. To ensure the robustness of the findings, a standard VAR model is estimated, confirming the persistence of spillover dynamics. The results offer three major insights: First, the impact of uncertainty is heterogeneous across the financial markets, and is amplified especially during crises such as COVID-19 and geopolitical conflicts. Second, GEPU, GPR, and S&P 500 emerged as dominant volatility transmitters, while gold and sustainable assets exhibit hedging properties highlighting their role in portfolio diversification. Finally, periods of heightened uncertainties lead to asymmetric and time-varying transmissions, emphasizing the importance of adaptive risk management strategies. The results of the study provide understanding of how various risk factors affect financial markets, offering valuable insights to investors, policy-makers, and portfolio managers seeking resilience to the global crisis.
Schlagwörter: 
Volatility Connectedness
Global Financial Markets
Climate and Economic Uncertainties
Geopolitical Risk
JEL: 
G11
G15
F51
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