Financial regimes and oil prices

Barrales‐Ruiz, Jose; Mohammed, Mikidadu

doi:10.1016/j.resourpol.2021.102299

Cited by 4 publications

(2 citation statements)

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“…Threshold Auto-regressive Model (TAR model) As a type of nonlinear models, TAR model can explain the nonlinear characteristics in financial data, which was first proposed by Tong in 1980 [41]. TAR model sets a particular point in time where the motion of the time series jumps from one regime to another, while this jump is discrete.…”

Section: Empirical Modelmentioning

confidence: 99%

Research on Carbon Allowance Price Non-Linear Structure Characteristics and Regime Switching Mechanism in China's Carbon Market

Wei,

Chen

2023

Pol. J. Environ. Stud.

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Carbon allowance prices (CAP) directly reflect the overall movement of the carbon market, which is the core of the carbon market operation and an important perspective for studying the carbon market. Based on the threshold model and regime switching model, through studying the performance of CAP in China's carbon market, the paper has the following conclusions. First, CAP show significant non-linear structure and three operating intervals of high, medium, and low, with most of the time being active in the medium and low intervals. Second, there is a stabilization mechanism in the current operation of CAP, which can adequately regulate the trend of CAP fluctuations and eventually converge back to the normal state. Finally, it is found that moderate increases are the main form of CAP volatility in China's carbon market, but other possible states and the risk of abnormal CAP volatility due to state transformation still exist. Furthermore, for investors, China's carbon market may be an ideal place to make long-term investments and hedge risks in the future. This paper provides theoretical support for investors and regulators in the carbon market to make scientific decisions based on the carbon market.

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Section: Empirical Modelmentioning

confidence: 99%

Research on Carbon Allowance Price Non-Linear Structure Characteristics and Regime Switching Mechanism in China's Carbon Market

Wei,

Chen

2023

Pol. J. Environ. Stud.

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show abstract

“…The interaction between shale oil production and oil price under different regimes is examined by estimating threshold terms. Several pieces of literature shed light on the interactivities in oil supply shock and oil price by adopting threshold VAR (TVAR) (Atems et al, 2015;Balcilar et al, 2022;Barrales-Ruiz and Mohammed, 2021;Sek, 2019;Van Robays, 2016). Further, Nonlinear structural models, incorporating thresholds and breaks are proposed in Baum and Koester (2011) and Galvão and Marcellino (2013).…”

Section: Introductionmentioning

confidence: 99%