How ESG Uncertainty Propagates Globally: Spillover Asymmetries Between G7 and BRIC Economies

This paper examines the transmission of Environmental, Social, and Governance (ESG) uncertainty across BRIC and G7 economies, with particular emphasis on distinguishing between contemporaneous and delayed spillover channels. Using the ESG-based Sustainability Uncertainty Index (ESGUI) within an R²-decomposed connectedness framework, we find a non-negligible level of interconnectedness, with a Total Connectedness Index of 37.79%, accompanied by temporal asymmetries in spillover dynamics. Contemporaneous transmission (19.87%) is marginally higher than delayed spillovers (17.92%). The findings reveal a heterogeneous transmission structure in which economies differ in their roles as contemporaneous transmitters, lag-dominant transmitters, and receivers, reflecting variation in information diffusion, institutional adjustment, and cross-country interdependencies. These roles are distributed across both advanced (G7) and emerging (BRIC) economies, indicating a non-hierarchical, network-based structure of ESG uncertainty transmission. The dynamic analysis further indicates that spillovers are time-varying and asymmetric, with transmission roles evolving alongside global and country-specific ESG-related and macroeconomic developments. From a policy perspective, the findings underscore the need to balance domestic responsiveness with international coordination in managing sustainability-related risks. The coexistence of immediate transmission and delayed spillovers further suggests that ESG policy design should integrate timely signaling with phased institutional adaptation across jurisdictions.