The Impact of Climate on Economic and Financial Cycles: A Markov-switching Panel Approach
Monica Billio (),
Roberto Casarin (),
Enrica De Cian (),
Malcolm Mistry () and
Anthony Osuntuyi ()
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Roberto Casarin: Department of Economics, University Of Venice CÃ Foscari
Enrica De Cian: Centro Euro-Mediterraneo sui Cambiamenti Climatici (CMCC), Venice, Italy
Malcolm Mistry: Centro Euro-Mediterraneo sui Cambiamenti Climatici (CMCC), Venice, Italy
Anthony Osuntuyi: Department of Mathematics, Obafemi Awolowo University Nigeria
No 2021:03, Working Papers from Department of Economics, University of Venice "Ca' Foscari"
This paper examines the impact of climate shocks on 13 European economies analysing jointly business and financial cycles, in different phases and disentangling the effects for different sector channels. A Bayesian Panel Markov-switching framework is proposed to jointly estimate the impact of extreme weather events on the economies as well as the interaction between business and financial cycles. Results from the empirical analysis suggest that extreme weather events impact asymmetrically across the different phases of the economy and heterogeneously across the EU countries. Moreover, we highlight how the manufacturing output, a component of the industrial production index, constitutes the main channel through which climate shocks impact the EU economies.
Keywords: Bayesian inference; climate shocks; financial cycle; business cycle; Markov-switching; Multi-country Panel (search for similar items in EconPapers)
JEL-codes: C11 C15 C33 C53 E37 (search for similar items in EconPapers)
Pages: 64 pages
New Economics Papers: this item is included in nep-cwa, nep-eec, nep-env, nep-fdg and nep-mac
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Working Paper: The impact of Climate on Economic and Financial Cycles: A Markov-switching Panel Approach (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:ven:wpaper:2021:03
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