Climate uncertainty and carbon emissions prices: The relative roles of transition and physical climate risks?

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dc.authoridDemirer, Riza/0000-0002-1840-8085|Ozturk, Serda Selin/0000-0003-2758-9321
dc.authorwosidDemirer, Riza/D-2981-2015
dc.contributor.authorOzturk, Serda Selin
dc.contributor.authorDemirer, Riza
dc.contributor.authorGupta, Rangan
dc.date.accessioned2024-07-18T20:42:33Z
dc.date.available2024-07-18T20:42:33Z
dc.date.issued2022
dc.departmentİstanbul Bilgi Üniversitesien_US
dc.description.abstractThis 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.en_US
dc.identifier.doi10.1016/j.econlet.2022.110687
dc.identifier.issn0165-1765
dc.identifier.issn1873-7374
dc.identifier.scopus2-s2.0-85133410082en_US
dc.identifier.scopusqualityQ2en_US
dc.identifier.urihttps://doi.org/10.1016/j.econlet.2022.110687
dc.identifier.urihttps://hdl.handle.net/11411/7332
dc.identifier.volume217en_US
dc.identifier.wosWOS:000828173600002en_US
dc.identifier.wosqualityQ3en_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherElsevier Science Saen_US
dc.relation.ispartofEconomics Lettersen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectClimate Risken_US
dc.subjectCarbon Pricesen_US
dc.subjectStochastic Volatilityen_US
dc.titleClimate uncertainty and carbon emissions prices: The relative roles of transition and physical climate risks?en_US
dc.typeArticleen_US

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