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Susana is a Research Fellow and Postdoctoral Researcher in Climate Econometrics at Nuffield College, University of Oxford. Susana holds a Ph.D. in Economics from the University of Minho (2019). Her research focuses on the co-movements of financial markets and how they change over time. Susana is working with Robert F. Engle (New York University Stern School of Business) on the geopolitical volatility model for measuring and hedging geopolitical risk. The GEOVOL index is publicly available on V-Lab. She is also working with David F. Hendry (Climate Econometrics) on the impact of climate change news on geopolitical volatility and the global carbon-intensive equity market.
The systemic implications on carbon-intensive equity prices of the disruptive technological progress from decarbonising the global energy system are compounded by the geopolitical nature of both the global oil market and transition risk. We show empirically that climate change news affects oil and gas stock return volatilities at the global scale. But not all geoclimatic shocks are alike. Climate change news increases global uncertainty around carbon-intensive equities and it amplifies the effects of oil volatility shocks when the news is bad. Moreover, the impact of climate change news on the global oil and gas carbon-intensive equity market differs across topics and themes.
Authors: Susana Campos-Martins and David F. Hendry
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