IDEAS home Printed from https://ideas.repec.org/a/eee/finlet/v58y2023ipcs1544612323008577.html
   My bibliography  Save this article

Climate change economics and the determinants of carbon emissions’ futures returns: A regime-driven ARDL model

Author

Listed:
  • Kotsompolis, Giorgos
  • Konstantakis, Konstantinos N.
  • Xidonas, Panos
  • Michaelides, Panayotis G.
  • Thomakos, Dimitrios D.

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.

Suggested Citation

  • Kotsompolis, Giorgos & Konstantakis, Konstantinos N. & Xidonas, Panos & Michaelides, Panayotis G. & Thomakos, Dimitrios D., 2023. "Climate change economics and the determinants of carbon emissions’ futures returns: A regime-driven ARDL model," Finance Research Letters, Elsevier, vol. 58(PC).
    • Handle: RePEc:eee:finlet:v:58:y:2023:i:pc:s1544612323008577
    DOI: 10.1016/j.frl.2023.104485
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S1544612323008577
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.frl.2023.104485?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:finlet:v:58:y:2023:i:pc:s1544612323008577. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/frl .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.