The recent Carbon volatility index (Carbon VIX) by Fuchs, Stroebel, and Terstegge (2024) raises important questions regarding its impact on the financial performance of decarbonizing companies. We investigate the relationship between decarbonized SPACs and the Carbon VIX. While the Decarbonised SPAC Index does not exhibit a statistically significant linear relationship with the Carbon VIX, a regime-shifting approach indicates a positive association in low-volatility environments. Furthermore, carbon prices show a positive effect in low price regimes. We highlight the importance of considering regime shifts and non-linear effects when assessing the impact of volatility and price dynamics on decarbonized SPAC performance.

中文翻译：

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Carbon VIX：脱碳 SPAC 案例


Fuchs、Stroebel 和 Terstegge （2024） 最近的碳波动率指数 （Carbon VIX） 提出了有关其对脱碳公司财务业绩影响的重要问题。我们研究了脱碳 SPAC 与 Carbon VIX 之间的关系。虽然脱碳 SPAC 指数与碳 VIX 没有表现出统计学上显着的线性关系，但制度转移方法表明在低波动性环境中呈正相关。此外，碳价格在低价制度下显示出积极影响。我们强调了在评估波动性和价格动态对脱碳 SPAC 业绩的影响时考虑制度转变和非线性效应的重要性。