Carbon emissions and sustainability in Covid-19’s waves: evidence from a two-state dynamic Markov-switching regression (MSR) model

Konstantinos Konstantakis, Panayotis Michaelides, Panos Xidonas and Stavroula Yfanti
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Panos Xidonas: ESSCA Ecole de Management
Stavroula Yfanti: University of London, Queen Mary

Annals of Operations Research, 2025, vol. 347, issue 1, No 10, 217-239

Abstract: Abstract Throughout the world, carbon emissions have decreased in an unprecedented way as a result of the Covid-19 pandemic. The purpose of this paper is to investigate whether a rebound effect in carbon emissions is anticipated following the extraction of information related to the beliefs of investors. A suitable Markov switching model is used in this paper to adapt the safe haven financial methodology to an environmental sustainability perspective. Analytically, the aforementioned situation is modeled by estimating a two-state dynamic Markov-Switching Regression (MSR), with a state-dependent intercept term to capture the dynamics of the series, across unobserved regimes. In light of the results of the research and the robustness checks, investors are anticipating a rebound effect on the total quantity of carbon emissions.

Keywords: Environment; Sustainability; Pandemic; CO2 (search for similar items in EconPapers)
JEL-codes: C22 C50 C51 C58 (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1007/s10479-023-05184-x

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