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<p>In an increasingly interconnected financial system shaped by the global energy transition and heightened uncertainty, understanding how shocks spread across traditional and green financial markets become critically important. This study examines the spillover dynamics among G7 stock markets, oil, clean energy, and green bonds assets, while assessing how different forms of uncertainty—global economic policy, climate policy, and ESG-related—shape these linkages. Using a novel quantile-frequency connectedness, wavelet quantile correlation, non-parametric quantile causality and quantile-on-quantile regression, the analysis provides several key findings. The dataset covers the period from August 3, 2015, to August 20, 2025. The findings reveal that connectedness remains elevated even under normal market conditions and intensifies markedly during extreme bearish and bullish scenarios, peaking during major financial crises. Importantly, connectedness is highly asymmetric and predominantly concentrated in the short term. European and Japanese equities often acting as net transmitters, while U.S. and Canadian equities together with oil, clean energy and green bonds tend to be net receivers. These patterns reverse sharply during turmoil, underscoring the regime-dependent nature of risk spillovers. WQC results show stronger long-term than short-term dependencies. Quantile causality highlights median-quantile dominance, with WilderHill and Canada acting as key bidirectional hubs. Uncertainty amplifies these dynamics, with climate and ESG-related uncertainty exerting stronger effects than global economic policy uncertainty. The findings highlight that static diversification is insufficient, emphasizing the need for adaptive, regime-aware strategies incorporating hedging, liquidity management, and stress testing. Policymakers must address systemic risk through clear transition roadmaps, harmonized disclosures, and forward-looking climate stress tests.</p>

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Multiscale connectedness between stocks, energy, and green bonds under economic and climate policy uncertainty: evidence from the G7

  • 期刊论文

  • 发表日期：

    2026年7月10日

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  • Houssem Eddine Belghouthi,
  • Adel Boubaker

摘要

In an increasingly interconnected financial system shaped by the global energy transition and heightened uncertainty, understanding how shocks spread across traditional and green financial markets become critically important. This study examines the spillover dynamics among G7 stock markets, oil, clean energy, and green bonds assets, while assessing how different forms of uncertainty—global economic policy, climate policy, and ESG-related—shape these linkages. Using a novel quantile-frequency connectedness, wavelet quantile correlation, non-parametric quantile causality and quantile-on-quantile regression, the analysis provides several key findings. The dataset covers the period from August 3, 2015, to August 20, 2025. The findings reveal that connectedness remains elevated even under normal market conditions and intensifies markedly during extreme bearish and bullish scenarios, peaking during major financial crises. Importantly, connectedness is highly asymmetric and predominantly concentrated in the short term. European and Japanese equities often acting as net transmitters, while U.S. and Canadian equities together with oil, clean energy and green bonds tend to be net receivers. These patterns reverse sharply during turmoil, underscoring the regime-dependent nature of risk spillovers. WQC results show stronger long-term than short-term dependencies. Quantile causality highlights median-quantile dominance, with WilderHill and Canada acting as key bidirectional hubs. Uncertainty amplifies these dynamics, with climate and ESG-related uncertainty exerting stronger effects than global economic policy uncertainty. The findings highlight that static diversification is insufficient, emphasizing the need for adaptive, regime-aware strategies incorporating hedging, liquidity management, and stress testing. Policymakers must address systemic risk through clear transition roadmaps, harmonized disclosures, and forward-looking climate stress tests.