摘要翻译:
在本文中,我们评估了气候冲击对农产品期货市场的影响和多个高收入经济体的一组宏观经济数量。为了捕捉国家、市场和气候冲击之间的关系,本文提出了估计高维面板VAR的简洁方法。我们假设与国内滞后内生变量相关的系数来自一个高斯混合模型,同时在参数空间的几个区域上使用适当的全局-局部收缩先验值来实现进一步的简约。我们的结果表明,关键宏观经济数量对气候冲击的显著全球反应。此外,实证研究结果突出了区域气候变化与全球商品市场之间的实质性联系。
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英文标题:
《A Bayesian panel VAR model to analyze the impact of climate change on
high-income economies》
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作者:
Florian Huber, Tam\'as Krisztin, Michael Pfarrhofer
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最新提交年份:
2021
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分类信息:
一级分类:Economics 经济学
二级分类:Econometrics 计量经济学
分类描述:Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论,微观计量经济学,宏观计量经济学,通过新方法发现的经济关系的实证内容,统计推论应用于经济数据的方法论方面。
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英文摘要:
In this paper, we assess the impact of climate shocks on futures markets for agricultural commodities and a set of macroeconomic quantities for multiple high-income economies. To capture relations among countries, markets, and climate shocks, this paper proposes parsimonious methods to estimate high-dimensional panel VARs. We assume that coefficients associated with domestic lagged endogenous variables arise from a Gaussian mixture model while further parsimony is achieved using suitable global-local shrinkage priors on several regions of the parameter space. Our results point towards pronounced global reactions of key macroeconomic quantities to climate shocks. Moreover, the empirical findings highlight substantial linkages between regionally located climate shifts and global commodity markets.
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PDF链接:
https://arxiv.org/pdf/1804.01554