Spillover Dynamics of Sustainability Uncertainty: A Time-Varying Parameter Vector Autoregression Extended Joint Connectedness Analysis of BRIC Economies and the United States
DOI:
https://doi.org/10.47743/saeb-2026-0003Keywords:
ESG-Related Uncertainty Index, TVP-VAR, Extended Connectedness Analysis, BRIC Economies, Policy Uncertainty Spillovers, ESG Risk, Sustainability.Abstract
Environmental, Social, and Governance (ESG) factors are increasingly shaping policies, investments, and risk assessments. The paper examines the cross-country spillovers and dynamic interlinkages of sustainability uncertainty between the BRIC economies (Brazil, Russia, India, and China) and the United States (U.S.) using the newly developed ESG-based Sustainability Uncertainty Index (ESGUI). To achieve this, we apply the Time-Varying Parameter Vector Autoregression (TVP-VAR) Extended Joint Connectedness Approach to a dataset spanning from November 2002 to September 2024.Our analysis reveals a moderate level of total connectedness (TCI) over the full sample period, indicating moderate cross-country spillovers. India emerges as the dominant transmitter of sustainability uncertainty, while Russia is the primary recipient of shocks. However, during the COVID and post-COVID period, the TCI increases significantly, reflecting heightened interconnectedness. Notably, India transitions from a major transmitter to a net receiver, while Brazil and Russia take on stronger roles in transmitting shocks. This study contributes novel insights into the time-varying and asymmetric nature of sustainability uncertainty transmission between the BRIC economies and the U.S. The results offer valuable implications for financial regulators, policymakers, and investors, highlighting the need for adaptive risk mitigation strategies and coordinated policy responses to manage systemic sustainability-related risks.
References
Abakah, E. J. A., Caporale, G. M., & Gil-Alana, L. A. (2021). Economic Policy Uncertainty: Persistence and Cross-Country Linkages. Research in International Business and Finance, 58(2), 1–12. http://dx.doi.org/10.1016/j.ribaf.2021.101442
Adjei, A. N. K., Tweneboah, G., & Owusu Junior, P. (2025). Economic Policy Uncertainty and Spillovers in Selected Emerging Market Economies: Time-and Frequency-Domain Approach. Journal of Financial Economic Policy, 17(1), 1–28. http://dx.doi.org/10.1108/JFEP-09-2023-0287
Alkan, S., Akdağ, S., & Alola, A. A. (2023). Evaluating the Hierarchical Contagion of Economic Policy Uncertainty Among the Leading Developed and Developing Economies. Economies (Basel), 11(8), 1–17. http://dx.doi.org/10.3390/economies11080201
Antonakakis, N., Chatziantoniou, I., & Gabauer, D. (2020). Refined Measures of Dynamic Connectedness Based on Time-Varying Parameter Vector Autoregressions. Journal of Risk and Financial Management, 13(4), 1–23. http://dx.doi.org/10.3390/jrfm13040084
Antonakakis, N., Gabauer, D., Gupta, R., & Plakandaras, V. (2018). Dynamic Connectedness of Uncertainty Across Developed Economies: A Time-Varying Approach. Economics Letters, 166(4), 63–75. http://dx.doi.org/10.1016/j.econlet.2018.02.011
Bai, L., Zhang, X., Liu, Y., & Wang, Q. (2019). Economic Risk Contagion Among Major Economies: New Evidence from EPU Spillover Analysis in Time and Frequency Domains. Physica A, 535(December), 1–13. http://dx.doi.org/10.1016/j.physa.2019.122431
Balcilar, M., Gabauer, D., & Umar, Z. (2021). Crude Oil Futures Contracts and Commodity Markets: New Evidence from A TVP-VAR Extended Joint Connectedness Approach. Resources Policy, 73(2), 1–14. http://dx.doi.org/10.1016/j.resourpol.2021.102219
Balcilar, M., Hammoudeh, S., & Toparli, E. A. (2018). On the Risk Spillover Across the Oil Market, Stock Market, and the Oil-Related CDS Sectors: A Volatility Impulse Response Approach. Energy Economics, 74(August), 813–827. http://dx.doi.org/10.1016/j.eneco.2018.07.027
Balli, F., Uddin, G. S., Mudassar, H., & Yoon, S. M. (2017). Cross-Country Determinants of Economic Policy Uncertainty Spillovers. Economics Letters, 156(July), 179–183. http://dx.doi.org/10.1016/j.econlet.2017.05.016
Bhattarai, S., Chatterjee, A., & Park, W. Y. (2020). Global Spillover Effects of US Uncertainty. Journal of Monetary Economics, 114(October), 71–89. http://dx.doi.org/10.1016/j.jmoneco.2019.05.008
Çekin, S. E., Pradhan, A. K., Tiwari, A. K., & Gupta, R. (2020). Measuring Co-Dependencies of Economic Policy Uncertainty in Latin American Countries Using Vine Copulas. The Quarterly Review of Economics and Finance, 76(May), 207–217. http://dx.doi.org/10.1016/j.qref.2019.07.004
Cho, D., Kim, H., & Lee, K. (2023). Dynamic Spillovers of Economic Policy Uncertainty Across the US, Europe, and East Asia. Global Economic Review, 52(3), 187–201. http://dx.doi.org/10.1080/1226508X.2023.2243066
Colombo, V. (2013). Economic Policy Uncertainty in the US: Does It Matter for the Euro Area? Economics Letters, 121(1), 39–42. http://dx.doi.org/10.1016/j.econlet.2013.06.024
Diebold, F. X., & Yılmaz, K. (2012). Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers. International Journal of Forecasting, 28(1), 57–66. http://dx.doi.org/10.1016/j.ijforecast.2011.02.006
Ellili, N. O. D. (2024). Bibliometric Analysis of Sustainability Papers: Evidence from Environment, Development and Sustainability. Environment, Development and Sustainability, 26(April), 8183–8209. http://dx.doi.org/10.1007/s10668-023-03067-6
Elliott, G., Rothenberg, T. J., & Stock, J. H. (1996). Efficient Tests for An Autoregressive Unit Root. Econometrica, 64(4), 813–836. http://dx.doi.org/10.2307/2171846
Fisher, T. J., & Gallagher, C. M. (2012). New Weighted Portmanteau Statistics for Time Series Goodness-of-Fit Testing. Journal of the American Statistical Association, 107(498), 777–787. http://dx.doi.org/10.1080/01621459.2012.688465
Gabauer, D., & Gupta, R. (2018). On the Transmission Mechanism of Country-Specific and International Economic Uncertainty Spillovers: Evidence from a TVP-VAR Connectedness Decomposition Approach. Economics Letters, 171(October), 63–71. http://dx.doi.org/10.1016/j.econlet.2018.07.007
Guo, J., Li, Y., & Shao, Q. (2022). Cross-Category Spillover Effects of Economic Policy Uncertainty between China and the US: Time and Frequency Evidence. Journal of Asian Economics, 80(June), 1–14. http://dx.doi.org/10.1016/j.asieco.2022.101462
Guo, J., Yang, Y., & He, R. (2025). Spillover Effects of Economic Policy Uncertainty Among the US and BRIC Countries: Based on Time and Frequency Domain Perspectives. Applied Economics, 57(25), 3412–3426. http://dx.doi.org/10.1080/00036846.2024.2337783
Ha, L. T., & Nham, N. T. H. (2022). An Application of A TVP-VAR Extended Joint Connected Approach to Explore Connectedness between WTI Crude Oil, Gold, Stock and Cryptocurrencies During the COVID-19 Health Crisis. Technological Forecasting and Social Change, 183(July). http://dx.doi.org/10.1016/j.techfore.2022.121909
Huang, W., & Li, X. (2024). International Spillover of Economic Policy Uncertainty and its Transmission Channels: A Spatial Econometrics Method. Applied Economics Letters, 31(9), 868–873. http://dx.doi.org/10.1080/13504851.2022.2155605
Jarque, C. M., & Bera, A. K. (1980). Efficient Tests for Normality, Homoscedasticity and Serial Independence of Regression Residuals. Economics Letters, 6(3), 255–259. http://dx.doi.org/10.1016/0165-1765(80)90024-5
Kayani, U., Hassan, M. K., Dejan, A., Khan, M., & Nawaz, F. (2024). Assessment of Economic Policy Uncertainty Spillovers: A Cross-Border Analysis of Global and BRIC Economies. Inter Economics, 179(16), 1–12. http://dx.doi.org/10.1016/j.inteco.2024.100530
Klößner, S., & Sekkel, R. (2014). International Spillovers of Policy Uncertainty. Economics Letters, 124(3), 508–512. http://dx.doi.org/10.1016/j.econlet.2014.07.015
Lastrapes, W. D., & Wiesen, T. F. P. (2021). The Joint Spillover Index. Economic Modelling, 94(January), 681–691. http://dx.doi.org/10.1016/j.econmod.2020.02.010
Olalere, O. E., & Mukuddem-Petersen, J. (2024). Geopolitical Risk, Economic Policy Uncertainty, and Bank Stability in BRICS Countries. Cogent Economics & Finance, 12(1), 1–20. http://dx.doi.org/10.1080/23322039.2023.2290368
Ongan, S., Gocer, I., & Işik, C. (2025). Introducing the New ESG-based Sustainability Uncertainty Index (ESGUI). Sustainable Development (Bradford), 33(3), 4457–4467. http://dx.doi.org/10.1002/sd.3351
Osei, P. M., Djimatey, R., & Adam, A. M. (2021). Economic Policy Uncertainty Linkages Among Asian Countries: Evidence from Threshold Cointegration Approach. Discrete Dynamics in Nature and Society, 2021(3), 1–15. http://dx.doi.org/10.1155/2021/6656176
Ouyang, Z., Dou, Z., Wei, L., & Vasa, L. (2022). Nonlinear Spillover Effect of US Monetary Policy Uncertainty on China’s Systematic Financial Risks. Journal of Business Economics and Management, 23(2), 364–381. http://dx.doi.org/10.3846/jbem.2022.16065
Segovia-Vargas, M. J., & Camacho-Miñano, M. M. (2024). Economic, Social, and Environmental Sustainability in Uncertain Times. Global Policy, 15(S7), 4–7. http://dx.doi.org/10.1111/1758-5899.13464
Sikhwal, S. (2024). Quantifying the Spillover Effects of U.S. Economic Policy Uncertainty on Emerging Market Economies Using GMM-PVAR Model. Russian Journal of Economics, 10(3), 229–245. http://dx.doi.org/10.32609/j.ruje.10.128666
Sum, V. (2013). Economic Policy Uncertainty in the United States and Europe: A Cointegration Test. International Journal of Economics and Finance, 5(2), 98–101. http://dx.doi.org/10.5539/ijef.v5n2p98
Tang, W., Ding, S., & Chen, H. (2021). Economic Uncertainty and its Spillover Networks: Evidence from the Asia-Pacific Countries. Pacific-Basin Finance Journal, 67(10), 1–16. http://dx.doi.org/10.1016/j.pacfin.2021.101539
Tawiah, V. K., Zakari, A., & Khan, I. (2021). The Environmental Footprint of China-Africa Engagement: An Analysis of the Effect of China - Africa Partnership on Carbon Emissions. The Science of the Total Environment, 756(February ), 1–12. http://dx.doi.org/10.1016/j.scitotenv.2020.143603
Trung, N. B. (2019). The Spillover Effects of US Economic Policy Uncertainty on the Global Economy: A Global VAR Approach. The North American Journal of Economics and Finance, 48(April), 90–110. http://dx.doi.org/10.1016/j.najef.2019.01.017
Urom, C., & Ndubuisi, G. (2023). Do Geopolitical Risks and Global Market Factors Influence the Dynamic Dependence Among Regional Sustainable Investments and Major Commodities? The Quarterly Review of Economics and Finance, 91(October), 94–111. http://dx.doi.org/10.1016/j.qref.2023.07.007
Yang, C., Niu, Z., & Gao, W. (2022). The Time-Varying Effects of Trade Policy Uncertainty and Geopolitical Risks Shocks on the Commodity Market Prices: Evidence from the TVP-VAR-SV Approach. Resources Policy, 76(June), 1–11. http://dx.doi.org/10.1016/j.resourpol.2022.102600
Zhou, Y., Liu, Z., & Wu, S. (2022). The Global Economic Policy Uncertainty Spillover Analysis: In the Background of COVID-19 Pandemic. Research in International Business and Finance, 61(October), 1–20. http://dx.doi.org/10.1016/j.ribaf.2022.101666
Downloads
Published
How to Cite
Issue
Section
License
Copyright (c) 2025 Nayanjyoti Bhattacharjee, Anupam De
This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.
All accepted papers are published on an Open Access basis.
The Open Access License is based on the Creative Commons license.
The non-commercial use of the article will be governed by the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License as currently displayed on https://creativecommons.org/licenses/by-nc-nd/4.0
Under the Creative Commons Attribution-NonCommercial-NoDerivatives license, the author(s) and users are free to share (copy, distribute and transmit the contribution) under the following conditions:
1. they must attribute the contribution in the manner specified by the author or licensor,
2. they may not use this contribution for commercial purposes,
3. they may not alter, transform, or build upon this work.
This work is licenced under a 
