Contemporaneous and lagged spillovers across crude oil, carbon emission allowance, climate change, and agriculture futures markets: Evidence from the $R^2$ decomposed connectedness approach

Yan-Hong Yang, Ying-Hui Shao, Wei-Xing Zhou
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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.
原油、碳排放配额、气候变化和农产品期货市场的同期和滞后溢出效应:来自 $R^2$ 分解关联性方法的证据
在本文中,我们研究了原油、碳排放配额、气候变化和农产品市场之间的动态溢出效应。采用新颖的 R^2$ 分解关联性方法,我们的实证分析揭示了几个重要发现。总体 TCI 动态主要由同期动态而非滞后动态主导。我们还发现气候变化对其他市场具有显著的溢出效应。此外,农产品市场之间存在异质性溢出效应。特别是,玉米是这一系统中最大的风险贡献者,而大麦则是冲击的主要风险接受者。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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