A New Index of Climate Concern and identification of shocks: A Proxy-SVAR Approach

While scientific consensus underlines the urgent need to address climate change, public perception plays a crucial role in driving policy and behavioural changes. Indeed, what is meant by climate change in common sense? Understanding public sentiment helps tailor communication strategies and make policies more effective. A new climate concern index (CCI) is presented, designed to gauge the heterogeneous levels of awareness of climate change among the population. Volumes of web searches are used for disaggregated queries that may produce worries in people. To understand variations in climate change perception, the analysis is based on U.S. and Italy, and different Italian regions, for the 2004-2024 period. Specific queries in the CCI capture the post-cognitive interpretation according to which, in order for an individual to develop negative affectivity toward climate change, that individual must first cognitively attribute personal experience with extreme weather to climate change. To measure the impact of climate concern shocks on macroeconomic outcomes, structural vector autoregressive (SVAR) models are used, which provide parsimonious characterizations of shock transmission mechanisms and track dynamic causal effects. As the identification of SVARs requires parameter restrictions on the matrix that maps the VAR disturbances to structural shocks, which are often implausible, a proxy-SVAR approach is used.