Time-varying tail risk connectedness among sustainability-related products and fossil energy investments
研究了2014年至2022年间可持续金融指数与能源资产间尾部风险的动态传导，发现ESG和绿色股票是净风险传递者，而绿色债券、碳资产和能源商品是风险接受者，对绿色和棕色产品投资者有风险分散启示。
In this paper, we analyse the dynamic transmission of tail risk across a set of well-established sustainability-related financial indices & equities and energy assets using a novel CAViaR-TVP-VAR connectedness measure on daily data from 14 October 2014 to 31 August 2022. Findings suggest that the total risk connectedness is at medium level and the short-run effect of COVID-19 on the risk transmission was mild. Furthermore, ESG and green equities are persistent net risk transmitters, while green bond, carbon asset, and energy commodities are tail risk takers. The role of renewable energy stocks is inconclusive due to distinct time-varying characteristics. With reference to pairwise relationship, we show that sustainability equities strongly interact with crude oil futures and fossil energy equities. Furthermore, green bond, carbon, natural gas and coal futures weakly associate with the remaining assets in the system. Finally, we find that EPU, OVX, VIX, GPR, and the spread of US Tresuary have asymmetric impact on the spillovers. Altogether, our results offer insightful implications for policymakers and especially for “green” and “brown” products investors in risk diversification from the VaR perspective.