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Carbon emissions and sustainability in Covid-19’s waves: evidence from a two-state dynamic Markov-switching regression (MSR) model

Author

Listed:
  • Konstantinos N. Konstantakis

    (Hellenic Open University)

  • Panayotis G. Michaelides

    (National Technical University of Athens)

  • Panos Xidonas

    (ESSCA Ecole de Management)

  • Stavroula Yfanti

    (University of London, Queen Mary)

Abstract

Throughout the world, carbon emissions have decreased in an unprecedented way as a result of the Covid-19 pandemic. The purpose of this paper is to investigate whether a rebound effect in carbon emissions is anticipated following the extraction of information related to the beliefs of investors. A suitable Markov switching model is used in this paper to adapt the safe haven financial methodology to an environmental sustainability perspective. Analytically, the aforementioned situation is modeled by estimating a two-state dynamic Markov-Switching Regression (MSR), with a state-dependent intercept term to capture the dynamics of the series, across unobserved regimes. In light of the results of the research and the robustness checks, investors are anticipating a rebound effect on the total quantity of carbon emissions.

Suggested Citation

  • Konstantinos N. Konstantakis & Panayotis G. Michaelides & Panos Xidonas & Stavroula Yfanti, 2025. "Carbon emissions and sustainability in Covid-19’s waves: evidence from a two-state dynamic Markov-switching regression (MSR) model," Annals of Operations Research, Springer, vol. 347(1), pages 217-239, April.
    • Handle: RePEc:spr:annopr:v:347:y:2025:i:1:d:10.1007_s10479-023-05184-x
    DOI: 10.1007/s10479-023-05184-x
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    More about this item

    Keywords

    Environment; Sustainability; Pandemic; CO2;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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