Contemporaneous and lagged spillovers across crude oil, carbon emission allowance, climate change, and agriculture futures markets: Evidence from the $R^2$ decomposed connectedness approach
{"title":"Contemporaneous and lagged spillovers across crude oil, carbon emission allowance, climate change, and agriculture futures markets: Evidence from the $R^2$ decomposed connectedness approach","authors":"Yan-Hong Yang, Ying-Hui Shao, Wei-Xing Zhou","doi":"arxiv-2408.09669","DOIUrl":null,"url":null,"abstract":"In this paper, we examine the dynamic spillovers among the crude oil, carbon\nemission allowance, climate change, and agricultural markets. Adopting a novel\n$R^2$ decomposed connectedness approach, our empirical analysis reveals several\nkey findings. The overall TCI dynamics have been mainly dominated by\ncontemporaneous dynamics rather than the lagged dynamics. We also find climate\nchange has significant spillovers to other markets. Moreover, there are\nheterogeneous spillover effects among agricultural markets. Specially, corn is\nthe biggest risk contributor to this system, while barley is the major risk\nreceiver of shocks.","PeriodicalId":501128,"journal":{"name":"arXiv - QuantFin - Risk Management","volume":"127 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2024-08-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv - QuantFin - Risk Management","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/arxiv-2408.09669","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
Abstract
In this paper, we examine the dynamic spillovers among the crude oil, carbon
emission allowance, climate change, and agricultural markets. Adopting a novel
$R^2$ decomposed connectedness approach, our empirical analysis reveals several
key findings. The overall TCI dynamics have been mainly dominated by
contemporaneous dynamics rather than the lagged dynamics. We also find climate
change has significant spillovers to other markets. Moreover, there are
heterogeneous spillover effects among agricultural markets. Specially, corn is
the biggest risk contributor to this system, while barley is the major risk
receiver of shocks.