Ítem
Acceso Abierto

CPU and EPU: The Influence of Climate and Economic Policy Uncertainty on Global Financial Performance

Mostrar el registro sencillo de la publicación
dc.contributor.advisorMolina Muñoz, Jesús Enrique
dc.creatorDussán Téllez, Juliana
dc.creatorPérez González, Paula Valentina
dc.creator.degreeProfesional en Marketing y Negocios Digitales
dc.date.accessioned2025-02-17T14:29:01Z
dc.date.available2025-02-17T14:29:01Z
dc.date.created2024-11-15
dc.descriptionLa Incertidumbre de las políticas climáticas (CPU) y económicas (EPU), impactan en gran medida a los mercados financieros considerando su gran utilidad en la toma de decisiones de los inversionistas y la relevancia que tiene para los entes reguladores. La CPU hace referencia a la falta de claridad de las políticas gubernamentales del cambio climático de un futuro, y la EPU, es la incertidumbre de las políticas fiscales y monetarias que afectan la fiabilidad de los mercados financieros. Ambas incertidumbres provocan un nivel de volatilidad alto, generando que las personas sean más cautelosas al invertir. Tanto en los países desarrollados como emergentes, la CPU y EPU afectan incuestionablemente el rendimiento de sus economías. Por un lado, en los países desarrollados donde se encuentran mercados financieros más fuertes con políticas medioambientales superiores, cuentan con la dificultad de adaptarse a modelos más sostenibles. Por otra parte, la EPU y CPU en los países emergentes, tiene un nivel de afectación más alto dada la sensibilidad de los mercados financieros, incrementando la volatilidad del mercado, y generando que el acceso a capital extranjero se vea limitado. La relación entre el EPU, CPU y la volatilidad de los mercados financieros se puede analizar a partir de GARCH-MIDAS. Este es un modelo de regresión que permite capturar la variabilidad de la volatilidad en diferentes periodos de tiempo, proporcionando un análisis completo de las fluctuaciones que tienen los índices de la incertidumbre en las diferentes regiones.
dc.description.abstractClimate Policy Uncertainty (CPU) and Economic Policy Uncertainty (EPU) have a major impact on financial markets considering their usefulness in investor decision-making and their relevance for regulators. CPU refers to the lack of clarity of future governmental climate change policies, and EPU is the uncertainty of fiscal and monetary policies that affect the reliability of financial markets. Both uncertainties cause a high level of volatility, making people more cautious when investing. In both developed and emerging countries, CPU and EPU unquestionably affect the performance of their economies. On the one hand, in developed countries, where there are stronger financial markets with superior environmental policies, it is difficult to adapt to more sustainable models. On the other hand, EPU and CPU in emerging countries have a higher level of impact given the sensitivity of the financial markets, increasing market volatility and limiting access to foreign capital. The relationship between EPU, CPU and volatility of financial markets can be analyzed using GARCH-MIDAS. This is a regression model that allows capturing the variability of volatility in different time periods, providing a complete analysis of the fluctuations of the uncertainty indexes in different regions.
dc.format.extent52 pp
dc.format.mimetypeapplication/pdf
dc.identifier.doihttps://doi.org/10.48713/10336_44986
dc.identifier.urihttps://repository.urosario.edu.co/handle/10336/44986
dc.language.isoeng
dc.publisherUniversidad del Rosario
dc.publisher.departmentEscuela de Administración
dc.publisher.programPregrado en Marketing y Negocios Digitales
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 International*
dc.rights.accesRightsinfo:eu-repo/semantics/openAccess
dc.rights.accesoAbierto (Texto Completo)
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/*
dc.source.bibliographicCitationAizenman, J., & Jinjarak, Y. (2019). The impact of policy uncertainty on economic growth. NBER Working Paper Series. https://www.nber.org/system/files/working_papers/w3848/w3848.pdf
dc.source.bibliographicCitationArouri, M. H., Ben Youssef, A., & Jawadi, F. (2010). Does climate change policy uncertainty lead to financial market instability? Economics Letters, 109(2), 120-123. https://doi.org/10.1016/j.econlet.2010.08.015
dc.source.bibliographicCitationArouri, M. E., Nguyen, D. K., & Yoon, S. M. (2020). The impact of economic policy uncertainty on stock market returns and volatility: Evidence from G7 countries. Journal of Economic Policy, 80, 597-612. https://doi.org/10.1016/j.iref.2022.02.047
dc.source.bibliographicCitationAydin, M., Pata, U. K., & Inal, V. (2021). Economic policy uncertainty and stock prices in BRIC countries: Evidence from asymmetric frequency domain causality approach. Applied Economic Analysis. https://doi.org/10.1108/AEA-09-2020-0129
dc.source.bibliographicCitationBaker, S. R., Bloom, N., & Davis, S. J. (2016). Measuring economic policy uncertainty. The Quarterly Journal of Economics, 131(4), 1593-1636. https://doi.org/10.1093/qje/qjw024
dc.source.bibliographicCitationBarnes, C., & Nae, R. (2024). The economic impact of fiscal policy uncertainty: Evidence from a new cross-country database. IMF Working Paper. https://www.elibrary.imf.org/downloadpdf/journals/001/2024/209/article-A000-en.xml
dc.source.bibliographicCitationBauer, M. D., & Neely, C. J. (2014). International channels of the Federal Reserve’s unconventional monetary policy. Journal of International Money and Finance, 49, 26-49. https://doi.org/10.1016/j.jimonfin.2014.01.003
dc.source.bibliographicCitationBenlemlih, M., & Yavaş, Ç. (2023). Economic policy uncertainty and climate change: Evidence from CO2 emission. Journal of Business Ethics, 191(1), 1–27. https://doi.org/10.1007/s10551-023-05389-x
dc.source.bibliographicCitationBernanke, B. S., & Kuttner, K. N. (2005). What explains the stock market’s reaction to Federal Reserve policy? Journal of Finance, 60(3), 1221-1257. https://doi.org/10.1111/j.1540-6261.2005.00763.x
dc.source.bibliographicCitationBlack, F. (1976). Studies of stock price volatility changes. Proceedings of the 1976 Meetings of the American Statistical Association, Business and Economic Statistics Section, 177-181. https://doi.org/10.4236/tel.2014.49114
dc.source.bibliographicCitationBollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307-327. https://doi.org/10.1016/0304-4076(86)90063-1
dc.source.bibliographicCitationBordo, M. D., & Levin, A. T. (2022). Economic policy uncertainty and central bank independence. Journal of Monetary Economics, 118, 74-90. https://doi.org/10.1016/j.jmoneco.2021.09.001
dc.source.bibliographicCitationBouri, E., Iqbal, N., & Klein, T. (2022). Climate policy uncertainty and the price dynamics of green and brown energy stocks. Finance Research Letters, 47, 102740. https://doi.org/10.1016/j.frl.2022.102740
dc.source.bibliographicCitationBredin, D., Larkin, C., & Muckley, C. (2016). The impact of public policy and regulations on the energy markets: An empirical analysis. Energy Economics, 58, 22-35. https://doi.org/10.1016/j.eneco.2016.06.010
dc.source.bibliographicCitationBrunnermeier, M. K. (2009). Deciphering the liquidity and credit crunch 2007-2008. Journal of Economic Perspectives, 23(1), 77-100. https://doi.org/10.1257/jep.23.1.77
dc.source.bibliographicCitationBush, G., & López Noria, G. (2021). Uncertainty and exchange rate volatility: Evidence from Mexico. International Review of Economics and Finance, 75, 704-722. https://doi.org/10.1016/j.iref.2021.05.011
dc.source.bibliographicCitationCaceres, C., & Hopenhayn, H. (2019). Uncertainty and economic growth in Latin America. CEPAL. https://hdl.handle.net/11362/48581
dc.source.bibliographicCitationCampbell, J. Y., Lo, A. W., & MacKinlay, A. C. (2008). The econometrics of financial markets (Vol. 1). Princeton University Press. https://doi.org/10.1017/S1365100598009092
dc.source.bibliographicCitationChen, Z., Zhang, L., & Weng, C. (2023). Does climate policy uncertainty affect Chinese stock market volatility? International Review of Economics & Finance, 84, 369-381. https://ideas.repec.org/a/eee/reveco/v83y2023icp860-878.html
dc.source.bibliographicCitationDahlhaus, T., & otros. (2022). Fiscal policy uncertainty and investment: Evidence from emerging markets. https://www.researchgate.net/publication/359428839_Fiscal_Policy_Uncertainty_and_In vestment_Evidence_from_Emerging_Markets
dc.source.bibliographicCitationDai, Z., & Zhang, X. (2023). Climate policy uncertainty and risks taken by the bank: Evidence from China. International Review Of Financial Analysis (Online)/International Review Of Financial Analysis, 87, 102579. https://doi.org/10.1016/j.irfa.2023.102579
dc.source.bibliographicCitationDiebold, F. X., & Yilmaz, K. (2009). Macroeconomic factors and financial market volatility. Journal of Econometrics, 156(2), 218-232. https://doi.org/10.1016/j.jeconom.2009.01.001
dc.source.bibliographicCitationEngle, R. F., Gallo, G. M., & Caviar, J. (2013). The GARCH-MIDAS model: A new way to model the volatility of asset prices. Journal of Econometrics, 170(2), 112-134. https://doi.org/10.1016/j.jeconom.2013.03.005
dc.source.bibliographicCitationEngle, R. F., & Rangel, J. G. (2013). The volatilities of volatility. Journal of Financial Econometrics, 11(4), 183-213. https://doi.org/10.1093/jjfinec/nbs019
dc.source.bibliographicCitationFried, J., & otros. (2021). Investor sentiment and sustainability: The impact of economic policy uncertainty on green investment. Journal of Financial Economics, 141(1), 34-52. https://www.sciencedirect.com/science/article/abs/pii/S0927539821000310
dc.source.bibliographicCitationFried, S., Novan, K., & Peterman, W. B. (2021). The Macro Effects of Climate Policy Uncertainty. Federal Reserve Board. https://www.federalreserve.gov/econres/feds/files/2021018pap.pdf
dc.source.bibliographicCitationGhirelli, C., Leiva-Leon, D., & Tena, J. (2021). Economic policy uncertainty and the cost of capital. Journal of Money, Credit and Banking, 53(4), 1015-1041. https://doi.org/10.1016/j.irfa.2022.102070
dc.source.bibliographicCitationHe, M., & Zhang, Y. (2022). Climate policy uncertainty and the stock return predictability of the oil industry. Journal of International Financial Markets, Institutions and Money, 81, 101675. https://doi.org/10.1016/j.intfin.2022.101675
dc.source.bibliographicCitationHenríquez, E. M., & Gálvez-Gamboa, F. (2022). The effect of international economic policy uncertainty on Latin American financial markets. Estudios Gerenciales, 38(165), 519– 528. https://doi.org/10.18046/j.estger.2022.165.5383
dc.source.bibliographicCitationHuang, H., Ali, S., & Solangi, Y. A. (2023). Analysis of the Impact of Economic Policy Uncertainty on Environmental Sustainability in Developed and Developing Economies. Sustainability, 15(7), 5860. https://doi.org/10.3390/su15075860
dc.source.bibliographicCitationLi, H., Li, Y., & Guo, L. (2023). Extreme risk spillover effect and dynamic linkages between uncertainty and commodity markets: A comparison between China and America. Resources Policy, 85, 103839. https://doi.org/10.1016/j.resourpol.2023.103839
dc.source.bibliographicCitationLi, J., & Sun, Z. (2023). Climate Policy Uncertainty and Financial Markets: Evidence from Global Markets. Energy Economics, 105, 105892. https://doi.org/10.1016/j.eneco.2022.106475
dc.source.bibliographicCitationLiu, J., & Wang, H. (2022). Economic policy uncertainty and the cost of capital. International Review Of Financial Analysis, 81, 102070. https://doi.org/10.1016/j.irfa.2022.102070 https://doi.org/10.1016/j.resourpol.2023.103839
dc.source.bibliographicCitationLittlewood, D. (2019). Climate change uncertainty and the cost of capital. Climate Policy Uncertainty and Investment Risk, 19(8), 1048-1066. https://doi.org/10.1787/9789264030152-en
dc.source.bibliographicCitationMandelbrot, B. (1963). The variation of certain speculative prices. Journal of Business, 36(4), 394-419. https://doi.org/10.1086/294632
dc.source.bibliographicCitationMokni, K., Hedhili Zaier, L., Youssef, M., & Ben Jabeur, S. (2024). Quantile connectedness between the climate policy and economic uncertainty: Evidence from the G7 countries. Journal of Environmental Management, 351, 119826. https://doi.org/10.1016/j.jenvman.2023.119826
dc.source.bibliographicCitationOjeda-Joya, J., & Romero, J. V. (2023). Global EPU shocks drive significant upward revisions to exchange rate expectations: Evidence from Latin America. Economic Modelling, 120, 106185 https://doi.org/10.1016/j.econmod.2022.106185
dc.source.bibliographicCitationRen, X., Ji, Q., & Zhang, B. (2022). Climate policy uncertainty and firm innovation: Evidence from China. Energy Economics, 108, 105914. https://doi.org/10.1016/j.eneco.2022.106209
dc.source.bibliographicCitationSachs, J. D. (2015). The age of sustainable development. Columbia University Press. https://doi.org/10.1108/IJSE-08-2016-0224
dc.source.bibliographicCitationTan, O. F. (2024). The Impact of Climate Policy Uncertainty on ESG Ratings: Evidence from Latin American Countries. In Sustainable Finance: Challenges, Opportunities, and Future Prospects (pp. 59-76). https://doi.org/10.3390/systems12110495
dc.source.bibliographicCitationTarrow, S. (2008). Charles Tilly and the practice of contentious politics. Social Movement Studies, 7(2), 225-246. https://doi.org/10.1080/14742830802485601
dc.source.bibliographicCitationTian, L., Sun, Y., & Zhang, X. (2022). Climate policy uncertainty and the cost of capital: Evidence from China's carbon emissions trading scheme. Journal of Business Ethics, 1- 21. https://doi.org/10.1080/09640568.2023.2276062
dc.source.bibliographicCitationUnited Nations. (2015). Transforming our world: The 2030 Agenda for Sustainable Development. United Nations. https://sdgs.un.org/2030agenda
dc.source.bibliographicCitationYao, X., He, W., Li, J., & Le, W. (2023). Climate policy uncertainty through production networks: Evidence from the stock market. Economics Letters, 233, 111405. https://doi.org/10.1016/j.econlet.2023.111405
dc.source.instnameinstname:Universidad del Rosario
dc.source.reponamereponame:Repositorio Institucional EdocUR
dc.subjectIncertidumbre Política Climática (CPU)
dc.subjectIncertidumbre Política Económica (EPU)
dc.subjectMercados financieros
dc.subjectVolatilidad
dc.subjectCambio climático
dc.subjectRegulaciones ambientales
dc.subjectPaíses emergentes
dc.subjectPaíses desarrollados
dc.subject.keywordClimate Policy Uncertainty (CPU)
dc.subject.keywordEconomic Policy Uncertainty (EPU)
dc.subject.keywordFinancial markets
dc.subject.keywordVolatility
dc.subject.keywordClimate change
dc.subject.keywordEnvironmental regulations
dc.subject.keywordEmerging countries
dc.subject.keywordDeveloped countries
dc.titleCPU and EPU: The Influence of Climate and Economic Policy Uncertainty on Global Financial Performance
dc.title.TranslatedTitleCPU y EPU: La influencia de la incertidumbre climática y de política económica en el rendimiento financiero mundial
dc.typebachelorThesis
dc.type.hasVersioninfo:eu-repo/semantics/updatedVersion
dc.type.spaArtículo
local.department.reportEscuela de Administración
local.regionesBogotá
Archivos
Bloque original
Mostrando1 - 1 de 1
Miniatura
Nombre:
CPU_and_EPU_DussanTellez_Juliana_2025.pdf
Tamaño:
939.22 KB
Formato:
Adobe Portable Document Format
Descripción:
Descargar
Colecciones
Pregrado en Marketing y Negocios Digitales