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Persistence in Climate Risk Measures

Author

Listed:
  • Nuruddeen Usman
  • Emeka Okoro Akpa
  • Hassana Babangida Umar

    (Central Bank of Nigeria, Nigeria)

Abstract

In this short note, we investigate persistence in two climate risk measures – climate policy uncertainty index (cpu_index) and the Global Land and Ocean Temperature Anomalies (GLOT). Using the fractional integration method, we find that cpu_index and GLOT exhibit high, but mean reverting persistence, both in full and sub-samples.

Suggested Citation

  • Nuruddeen Usman & Emeka Okoro Akpa & Hassana Babangida Umar, 2023. "Persistence in Climate Risk Measures," Energy RESEARCH LETTERS, Asia-Pacific Applied Economics Association, vol. 4(2), pages 1-5.
    • Handle: RePEc:ayb:jrnerl:80
    DOI: 2023/06/13
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    References listed on IDEAS

    as
    1. Baillie, Richard T & Bollerslev, Tim, 1994. "The long memory of the forward premium," Journal of International Money and Finance, Elsevier, vol. 13(5), pages 565-571, October.
    2. Richard S. J. Tol, 2009. "The Economic Effects of Climate Change," Journal of Economic Perspectives, American Economic Association, vol. 23(2), pages 29-51, Spring.
    3. Jushan Bai & Pierre Perron, 2003. "Computation and analysis of multiple structural change models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 1-22.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Climate risk; Persistence; Climate change;
    All these keywords.

    JEL classification:

    • Q54 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Climate; Natural Disasters and their Management; Global Warming

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