Dynamic and asymmetric connectedness in the global “Carbon-Energy-Stock” system under shocks from exogenous events

IF 3.7 4区 经济学 Q1 BUSINESS, FINANCE
Ming-Yuan Yang , Zhanghangjian Chen , Zongzheng Liang , Sai-Ping Li
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引用次数: 0

Abstract

In this paper, by using the time-varying parameter vector autoregression model (TVP-VAR) with the asymmetric connectedness indicator and network diagrams, we investigate the dynamic and asymmetric return connectedness in the global “Carbon-Energy-Stock” system, including carbon markets and stock markets of the three largest economies, namely the United States, European Union and China, and fossil energies of crude oil and natural gas under exogenous shocks. Our study shows that (i) the risk spillover level of the global system has significantly increased after the outbreak of two exogenous events, the COVID-19 pandemic and the Russo-Ukrainian war, and the global shock from the COVID-19 pandemic has more widespread and greater impact on the system than the geopolitical shock from the Russo-Ukrainian war, (ii) the global “Carbon-Energy-Stock” system is more sensitive to negative information on price returns than positive information, and the asymmetry of the connectedness is much larger when the system is active and in the presence of exogenous shocks, (iii) risks in the global “Carbon-Energy-Stock” system usually transformed from stock markets, especially the stock markets of the United States and European Union, to the carbon markets. These findings provide valuable guidance and have economic implications for both investors and policymakers worldwide.

外生事件冲击下全球“碳-能源储备”系统的动态非对称连通性
本文采用具有非对称连通性指标和网络图的时变参数向量自回归模型(tpv -var),研究了外源冲击下全球“碳-能源-存量”系统(包括美国、欧盟和中国三大经济体的碳市场和股票市场)以及原油和天然气化石能源的动态和非对称回报连通性。我们的研究表明:(1)在新冠肺炎大流行和俄乌战争这两个外生事件爆发后,全球体系的风险溢出水平显著提高,并且新冠肺炎大流行的全球冲击比俄乌战争的地缘政治冲击对系统的影响更广泛和更大;(2)全球“碳-能源-存量”系统对价格收益的负面信息比正面信息更敏感。(3)全球“碳-能源-存量”系统的风险通常从股票市场,特别是美国和欧盟的股票市场向碳市场转移。这些发现为全世界的投资者和政策制定者提供了有价值的指导,并具有经济意义。
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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来源期刊
CiteScore
5.70
自引率
2.40%
发文量
53
期刊介绍: The purpose of the journal is also to stimulate international dialog among academics, industry participants, traders, investors, and policymakers with mutual interests in commodity markets. The mandate for the journal is to present ongoing work within commodity economics and finance. Topics can be related to financialization of commodity markets; pricing, hedging, and risk analysis of commodity derivatives; risk premia in commodity markets; real option analysis for commodity project investment and production; portfolio allocation including commodities; forecasting in commodity markets; corporate finance for commodity-exposed corporations; econometric/statistical analysis of commodity markets; organization of commodity markets; regulation of commodity markets; local and global commodity trading; and commodity supply chains. Commodity markets in this context are energy markets (including renewables), metal markets, mineral markets, agricultural markets, livestock and fish markets, markets for weather derivatives, emission markets, shipping markets, water, and related markets. This interdisciplinary and trans-disciplinary journal will cover all commodity markets and is thus relevant for a broad audience. Commodity markets are not only of academic interest but also highly relevant for many practitioners, including asset managers, industrial managers, investment bankers, risk managers, and also policymakers in governments, central banks, and supranational institutions.
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