农业、原油、碳排放限额和气候变化之间的同期和滞后溢出效应

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2024-11-04 DOI:10.1016/j.frl.2024.106374

Yan-Hong Yang , Ying-Hui Shao , Wei-Xing Zhou

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引用次数: 0

摘要

在本文中，我们研究了农产品、原油、碳排放配额和气候变化市场之间的同期和滞后溢出效应。采用 R2 分解关联度方法，我们的实证分析揭示了几个关键结论。首先，总体关联度指数（TCI）的动态变化主要受同期效应的影响。其次，农产品市场之间存在异质性溢出效应。特别是，玉米、豆粕和小麦是该系统的主要风险传递者，而大麦、可可和瘦肉猪则是冲击的主要风险接受者。第三，我们还发现气候变化对其他市场具有显著的溢出效应。

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Contemporaneous and lagged spillovers between agriculture, crude oil, carbon emission allowance, and climate change

In this paper, we examine the contemporaneous and lagged spillovers among the agricultural, crude oil, carbon emission allowance, and climate change markets. Adopting the

R^{2}

decomposed connectedness approach, our empirical analysis reveals several key findings. First, the overall total connectedness index (TCI) dynamics have been mainly dominated by contemporaneous effects. Second, there are heterogeneous spillover effects among agricultural markets. Specially, corn, soybean meal, and wheat are the major risk transmitters to this system, while barley, cocoa, and lean hog are the main risk receivers of shocks. Third, we also find that climate change has significant spillovers to other markets.

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance