COVID-19 outbreak and CO2 emissions: Macro-financial linkages

Artikel

In the Dynamic Conditional Correlation with Mixed Data Sampling (DCC-MIDAS) framework, we scrutinize the correlations between the macro-financial environment and CO2 emissions in the aftermath of the COVID-19 diffusion. The main original idea is that the economy's lock-down will alleviate part of the greenhouse gases' burden that human activity induces on the environment. We capture the time-varying correlations between U.S. COVID-19 confirmed cases, deaths, and recovered cases that were recorded by the Johns Hopkins Coronavirus Center, on the one hand; U.S. Total Industrial Production Index and Total Fossil Fuels CO2 emissions from the U.S. Energy Information Administration on the other hand. High-frequency data for U.S. stock markets are included with five-minute realized volatility from the Oxford-Man Institute of Quantitative Finance. The DCC-MIDAS approach indicates that COVID-19 confirmed cases and deaths negatively influence the macro-financial variables and CO2 emissions. We quantify the time-varying correlations of CO2 emissions with either COVID-19 confirmed cases or COVID-19 deaths to sharply decrease by -;15% to -30%. The main takeaway is that we track correlations and reveal a recessionary outlook against the background of the pandemic.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 14 ; Year: 2021 ; Issue: 1 ; Pages: 1-18 ; Basel: MDPI

Classification and Topics

• Classification: Wirtschaft
• Subject: COVID-19 ; CO2 emissions ; time-varying correlations ; macroeconomy ; stock markets ; DCC MIDAS

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Chevallier, Julien
• Event: Veröffentlichung
• (who): MDPI
• (where): Basel
• (when): 2021

Further information

• DOI: doi:10.3390/jrfm14010012
• Handle: http://hdl.handle.net/10419/239429
• Last update: 10.03.2025, 11:41 AM CET