Dependence Structure between Business Cycles and CO2 Emissions in the U.S.: Evidence from the Time-Varying Markov-Switching Copula Models

Giray Gözgör, Aviral Tiwari, Naceur Khraief and Muhammad Shahbaz

MPRA Paper from University Library of Munich, Germany

Abstract: The relationship between CO2 emissions and economic growth is well-examined. However, there is a gap in the literature to examine the nexus by regime-switching models. For this purpose, this paper examines the interdependence relations between CO2 emissions and the industrial production index as a measure of business cycles at the monthly frequency in the United States. We use a new approach to modeling dependence between the underlying variables over time, combining the time-varying copula and the Markov switching models. We find that there is a significant dependence structure between business cycles and CO2 emissions, which has a regime-switching feature, for the period from January 1973 to January 2017. Specifically, during the recession episodes, we deduce that until 1982, the high dependence regime with the Gaussian copula is valid. Since the beginning of 1983, the low dependence structure regime becomes prominent.

Keywords: carbon dioxide emissions; business cycles; Markov-switching models; copula models; regime-dependency (search for similar items in EconPapers)
JEL-codes: Q5 (search for similar items in EconPapers)
Date: 2019-09-02, Revised 2019-09-09
New Economics Papers: this item is included in nep-ene, nep-env and nep-his
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (31)

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/95971/1/MPRA_paper_95971.pdf original version (application/pdf)

Related works:
Journal Article: Dependence structure between business cycles and CO2 emissions in the U.S.: Evidence from the time-varying Markov-Switching Copula models (2019)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:95971

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().