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Öğe Climate uncertainty and carbon emissions prices: The relative roles of transition and physical climate risks?(Elsevier Science Sa, 2022) Ozturk, Serda Selin; Demirer, Riza; Gupta, RanganThis study examines the role of climate uncertainty on carbon emissions price dynamics using novel measures of uncertainty that capture transitional and physical climate risks. Applying a multivariate stochastic volatility model to daily European Union Allowance prices, we show that climate uncertainty indeed serves as a significant driver of price fluctuations in emissions prices with physical climate risks associated with uncertainty surrounding natural hazards playing a more dominant role over policy uncertainty in recent years. While our findings highlight the growing role of public concern over global warming and climate hazards than policy aspects as a driver of pricing dynamics in the emissions market, our findings present an interesting opening for hedging strategies towards attaining decarbonization goals in investment positions.
