The Time-Varying Impact of Climate Policy Uncertainty on the Volatility of China's New Energy Stock Market
DOI:
https://doi.org/10.62051/e7brp470Keywords:
Climate Policy Uncertainty; New Energy Stock Market Volatility; TVP-SV-VAR Model.Abstract
This paper systematically examines the differential time-varying impacts of Chinese and U.S. climate policy uncertainty (CPU) on the volatility of China's new energy stock market. Utilizing a Time-Varying Parameter Stochastic Volatility Vector Autoregression (TVP-SV-VAR) model, this study conducts a comparative analysis of the mechanisms through which CPU from both countries influences the volatility across different time horizons. The results indicate that the impacts of both Chinese and U.S. CPU on the volatility of China's new energy stocks are time-varying. Specifically, Chinese CPU suppresses stock price volatility in the short run, with its effect gradually diminishing to zero in the long run. In contrast, shocks from U.S. CPU persistently amplify market volatility without showing significant decay. Furthermore, the study finds that the influences of these shocks exhibited significant divergence during extreme events, such as China's accession to the Paris Agreement in 2016 and the COVID-19 pandemic in 2020. Based on these findings, this paper proposes corresponding policy recommendations pertaining to international policy coordination and the construction of market stabilization mechanisms.
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