ESG and economic policy uncertainty: A wavelet application

Keshab Shrestha and Babak Naysary

Finance Research Letters, 2023, vol. 58, issue PD

Abstract: In this study, we examine the relationship between country-level EPU and MSCI ESG Leaders for the US and the UK using wavelet coherence analysis and daily data. We find a significant negative relationship between ESG indices and EPU. However, the existence of the significant negative relationship depends on certain time scales and dates. For both countries, the ESG indices lead the EPU in general. However, for certain time scales and dates, EPU leads the ESG indices.

Keywords: ESG leaders; Economic policy uncertainty; Wavelet coherence (search for similar items in EconPapers)
JEL-codes: D81 E69 Q56 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:58:y:2023:i:pd:s1544612323010176

DOI: 10.1016/j.frl.2023.104645

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