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Purpose This study addresses the intricate dynamics of country-level ESG-related sustainability uncertainty. We specifically examine the evolution, vulnerabilities, and spillover effects of ESG-related sustainability uncertainty both among developed and emerging economies. Design/methodology/approach We utilise the ESG-based sustainability uncertainty index (ESGU) of five emerging and seven developed economies from January 2003 to September 2024 and employ two sophisticated methodologies: the wavelet power spectrum and time-varying parameter vector autoregression. Findings The wavelet power spectrum indicates that all economies exhibited considerable sensitivity to ESG-related uncertainty during the initial years of the study. It should be highlighted that the emerging economies have gradually diminished their susceptibility to ESGU, while the majority of developed nations continue to exhibit persistent vulnerability to ESG-related issues. The TVP-VAR results indicate a strong spillover of ESG uncertainty among two blocs of economies, with heightened spillover among developed economies. Moreover, the global transmission of sustainability uncertainty is evident with the U.S., France, and India playing a significant role in contributing to ESG uncertainty. Practical implications The study offers policy implications to accomplish a comprehensive, globally informed strategy for sustainable development by effectively addressing environmental, social, and governance-related challenges at both regional and global levels. Originality/value This study is the first study to examine transitions from corporate-level ESG exposures to country-level ESG uncertainty, evaluating regional vulnerabilities, resilience strategies, and the essential role of global responsibility in achieving sustainable development.
Chalissery et al. (Wed,) studied this question.