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

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

Papers from arXiv.org

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.

Date: 2024-08, Revised 2024-12
New Economics Papers: this item is included in nep-agr and nep-ene
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Published in Finance Research Letters 71 (2025) 106374

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2408.09669

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