Risk transmission of El Niño-induced climate change to regional Green Economy Index
Li Zhang,
Yan Li,
Sixin Yu and
Lu Wang
Economic Analysis and Policy, 2023, vol. 79, issue C, 860-872
Abstract:
Global warming and rare weather caused by climate change continue to affect ecosystems, human health, and economic systems, which pose serious climate risk challenges for humanity. To address and adapt to climate change risks and to facilitate the process of achieving carbon peaking and carbon-neutral targets, the financial industry has become more concerned about the information spillover effects of extreme climate events on green financial products. Therefore, this paper adopts the Southern Oscillation Index (SOI) to describe climate change and investigates the influence of the SOI on the volatility of the NASDAQ OMX Green Economy Index (OMX-GEI) under a variant of the Double Asymmetric GARCH-MIDAS (DA-GM-X) model. The results show that the SOI provides relevant information for OMX-GEI volatility forecasting and the DA-GM-X model yields outstanding forecasting performance in statistical and economic terms. This conclusion indicates that considering SOI and its asymmetry changes can significantly improve the prediction accuracy of econometric models. Also, several robustness tests confirm our findings. Overall, the findings of this paper suggest that to achieve the two-carbon goal and combat climate change, governments should pay more attention to policy formulation that combines environment, climate, health, energy, and economy, and actively promote green, low-carbon, and sustainable energy development globally.
Keywords: Climate risk; El niño; Green Economy Index; Volatility forecasting (search for similar items in EconPapers)
JEL-codes: C22 C53 Q43 Q54 (search for similar items in EconPapers)
Date: 2023
References: Add references at CitEc
Citations: View citations in EconPapers (5)
Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S031359262300173X
Full text for ScienceDirect subscribers only
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:eee:ecanpo:v:79:y:2023:i:c:p:860-872
DOI: 10.1016/j.eap.2023.07.006
Access Statistics for this article
Economic Analysis and Policy is currently edited by Clevo Wilson
More articles in Economic Analysis and Policy from Elsevier
Bibliographic data for series maintained by Catherine Liu (repec@elsevier.com).