On the effects of uncertainty measures on sustainability indices: An empirical investigation in a nonlinear framework

Erick Meira(?), Felipe Arias Fogliano da Souza Cunha, Rafael Batista Palazzi, Marcelo Cabus Klotzle, Paula Medina Maçaira
May 2020
DOI

Abstract

This study investigates the effects of uncertainty measures on the dynamics of sustainability indices across different regions of the globe in the post-crisis period. The analysis is conducted under a multivariate Nonlinear Autoregressive-Distributed Lag (NARDL) framework. The results suggest that besides contributing to the Sustainable Development Goals, sustainability indices may serve as valuable tools to investors, asset managers and other stakeholders to dampen and/or offset the negative impacts of local and global measures of uncertainty, depending on the analyzed region. Other implications and an agenda for future research are also discussed.

Type
Journal article
Publication
International Review of Financial Analysis, 70(1)
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Asymmetric effects NARDL Nonlinearity Sustainability indices Uncertainty
Erick Meira
Erick Meira
Lecturer of Time Series Analysis and Forecasting

My research interests include Time Series, Forecasting, Data Analytics, Statistical Learning, Financial Econometrics and Sustainable Finance.