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dc.contributor.authorChevallier, Julien
HAL ID: 7536
dc.date.accessioned2011-09-16T13:12:36Z
dc.date.available2011-09-16T13:12:36Z
dc.date.issued2011-11
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/6970
dc.language.isoenen
dc.subjectCarbon priceen
dc.subjectIndustrial productionen
dc.subjectCointegrationen
dc.subjectThreshold cointegration testen
dc.subjectThreshold vector error-correctionen
dc.subjectVARen
dc.subjectMarkov-switching VARen
dc.subject.ddc333en
dc.subject.classificationjelC01en
dc.subject.classificationjelC32en
dc.subject.classificationjelC52en
dc.subject.classificationjelE23en
dc.subject.classificationjelE32en
dc.subject.classificationjelG12en
dc.subject.classificationjelG15en
dc.subject.classificationjelQ43en
dc.subject.classificationjelQ47en
dc.subject.classificationjelQ54en
dc.titleEvaluating the carbon-macroeconomy relationship: Evidence from threshold vector error-correction and Markov-switching VAR modelsen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenThis paper studies the nonlinear adjustment between industrial production and carbon prices – coined as ‘the carbon-macroeconomy relationship’ – in the EU 27. We model carbon price returns and industrial production as nonlinear and state-dependent, with dynamics depending on the sign and magnitude of past realization of returns and the growth of industrial production. Our findings show that (i) macroeconomic activity is likely to affect carbon prices with a lag, due to the specific institutional constraints of this environmental market; (ii) the joint dynamics of industrial production and carbon prices seem adequately captured by two-regime threshold vector error-correction and two-regime Markov-switching VAR models compared to linear models as main competitors. The regime-switching models proposed are profoundly checked for their economic content and statistical congruency, and are found to provide a sound statistical framework for a comprehensive analysis of the carbon-macroeconomy relationship.en
dc.relation.isversionofjnlnameEconomic Modelling
dc.relation.isversionofjnlvol28en
dc.relation.isversionofjnlissue6en
dc.relation.isversionofjnldate2011-11
dc.relation.isversionofjnlpages2634-2656en
dc.relation.isversionofdoihttp://dx.doi.org/10.1016/j.econmod.2011.08.003en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherElsevieren
dc.subject.ddclabelEconomie de la terre et des ressources naturellesen


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