COVID-19 Outbreak and CO 2 Emissions: Macro-Financial Linkages
Journal of Risk and Financial Management, 2020, vol. 14, issue 1, 1-18
In the Dynamic Conditional Correlation with Mixed Data Sampling (DCC-MIDAS) framework, we scrutinize the correlations between the macro-financial environment and CO 2 emissions in the aftermath of the COVID-19 diffusion. The main original idea is that the economy’s lock-down will alleviate part of the greenhouse gases’ burden that human activity induces on the environment. We capture the time-varying correlations between U.S. COVID-19 confirmed cases, deaths, and recovered cases that were recorded by the Johns Hopkins Coronavirus Center, on the one hand; U.S. Total Industrial Production Index and Total Fossil Fuels CO 2 emissions from the U.S. Energy Information Administration on the other hand. High-frequency data for U.S. stock markets are included with five-minute realized volatility from the Oxford-Man Institute of Quantitative Finance. The DCC-MIDAS approach indicates that COVID-19 confirmed cases and deaths negatively influence the macro-financial variables and CO 2 emissions. We quantify the time-varying correlations of CO 2 emissions with either COVID-19 confirmed cases or COVID-19 deaths to sharply decrease by −15% to −30%. The main takeaway is that we track correlations and reveal a recessionary outlook against the background of the pandemic.
Keywords: COVID-19; CO 2 emissions; time-varying correlations; macroeconomy; stock markets; DCC MIDAS (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
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Working Paper: Covid-19 Outbreak and CO2 Emissions: Macro-Financial Linkages (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:gam:jjrfmx:v:14:y:2020:i:1:p:12-:d:469632
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