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- W4386989400 abstract "This paper employs a Markov Switching Regime (MSR) ARDL model to investigate the determinants of future carbon emission returns, considering distinct regimes of mean and volatility. Utilizing daily data from January 16, 2009, to July 1, 2021, we analyze carbon emissions allowances and returns of major energy commodities. We identify two persistent regimes: high returns with low volatility and low returns with increased volatility. Fluctuations in oil prices significantly influence carbon emissions prices during specific states. Impulse Response Functions (IRFs) reveal short-term fluctuations in carbon emissions returns due to shocks in energy commodity returns, with varying effects between the regimes." @default.
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- W4386989400 date "2023-12-01" @default.
- W4386989400 modified "2023-10-16" @default.
- W4386989400 title "Climate Change Economics and the Determinants of Carbon Emissions’ Futures Returns: A Regime-Driven ARDL Model" @default.
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- W4386989400 doi "https://doi.org/10.1016/j.frl.2023.104485" @default.
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