The effect of climate news risk on uncertainties

Using the Wall Street Journal (WSJ) climate news index, this paper investigates the time-varying shock effects of climate news risk on uncertainties, which mainly include energy market uncertainty, economic policy uncertainty and financial market uncertainty. The degree of the effect of climate news risk on uncertainties varies in the short, medium and long terms; the short-term effect is the greatest, followed by the medium- and long-term effects. While climate news risk has a positive effect on economic policy uncertainty, it has a negative effect on energy market uncertainty. Climate news risk had a negative effect on financial market uncertainty before 2013 and has had a positive effect since 2013. During the UN Climate Change Conferences in Copenhagen, Doha and Paris, climate news risk shocks were found to have the greatest effect on economic policy uncertainty, followed by the effect on energy market uncertainty. The smallest degree of effect was on financial market uncertainty.