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Institute
In this paper, a dependence-switching copula model is used for the first time to analyse the dependence structure between sectoral equity markets and crude oil prices for India, one of the largest oil importing countries. Specifically, we investigate the dependence and tail dependence for four distinctive states of the market, i.e. rising oil prices—rising equity markets, declining oil prices—declining equity markets, rising oil prices—declining equity markets, and declining oil prices—rising equity markets. Our results reveal that the tail dependence is symmetric (asymmetric) in positive (negative) correlation regimes. Based on the copula results, we estimate the systemic crude oil price risk to different sectors using CoVaR and delta CoVaR. A fleeting positive sectoral CoVaR and delta CoVaR across all sectors implies a time-varying oil price systemic risk. Yet, little difference between CoVaR and VaR across the sectors reveals that a bearish oil market does not add additional systemic risk to a bearish sectoral equity market. The carbon sector is found to be the safe haven investment when both the equity and the oil markets are in a downward phase.
We examine the energy-food nexus using the dependence-switching copula model. Specifically, we look at the dependence for four distinct market states, such as, increasing oil–increasing commodity, declining oil–declining commodity, increasing oil–declining commodity, as well as declining oil–increasing commodity markets. Our results support the argument that the crash of oil markets and agricultural commodities happen at the same time, especially during crisis period. However, the same is not true during times of normal economic conditions, implying that investors cannot make excess profits in both agricultural and oil markets at once. Furthermore, our analysis suggests that the return chasing effect dominates for all commodities on maximum occasions. The CoVaR and ΔCoVaR results indicate important risk spillover from oil to agricultural markets, especially around the financial crisis.
Any signs of green growth?
(2021)
Focusing on air emissions in South Korean provinces, we investigate whether economic growth has become greener since the implementation of the national green growth strategy in 2009. Given the relevance of regional elements in the economic and environmental policies, the focus lies on spatial aspects. That is, spillovers from nearby provinces are controlled for in a SLX model by means of the Han–Phillips estimator for dynamic panel data. Our results suggest mainly the existence of inverted N-shaped Environmental Kuznets curves for sulfur oxides (SOX) and total suspended particles (TSP). As the curves initially decrease strongly with increasing income, the main cleanup is achieved with the mean income level. However, abatement of the remaining TSP emissions only takes place at higher income levels. While the fixed effects estimations indicate that per capita SOX and TSP emissions have been significantly lower since 2009, the effects vanish once spatial interactions are taken into account and no evidence is found that regional economic growth has become greener. Apart from economic growth, population density and energy consumption are the main drivers of emission changes, with the latter having robust spatial spillovers. The respective spatial interactions decrease with increasing distance and become insignificant after 150 km.