TY - JOUR
T1 - Eatery, energy, environment and economic system, 1970–2017
T2 - Understanding volatility spillover patterns in a global sample
AU - Vo, Long Hai
AU - Le, Thai-Ha
PY - 2021/8
Y1 - 2021/8
N2 - This paper explores the complex patterns of volatility transmissions among oil price, agricultural energy consumption, biofuel consumption, food production, greenhouse gas (GHG) emissions, and gross domestic product (GDP) per capita in a sample of 157 countries spanning the period 1970–2017. We employ a panel vector autoregressive model to construct time-varying volatility spillover indices. The main findings include the following: (i) On average, spillover effects account for about 20% of total volatility in the system in the sample period. (ii) Agricultural energy consumption is the dominant gross volatility emitter in this system, while GHG emissions are the dominant gross volatility receiver. (iii) Oil price fluctuation contributes approximately 43% to the total volatility in GDP per capita. We do not observe a strong link between agricultural emissions and GDP per capita in terms of volatility spillovers. Importantly, given the observed significant impact of oil price, energy consumption, and food production on changes in welfare, we conjecture that monitoring the interactions of these sectors is a policy priority.
AB - This paper explores the complex patterns of volatility transmissions among oil price, agricultural energy consumption, biofuel consumption, food production, greenhouse gas (GHG) emissions, and gross domestic product (GDP) per capita in a sample of 157 countries spanning the period 1970–2017. We employ a panel vector autoregressive model to construct time-varying volatility spillover indices. The main findings include the following: (i) On average, spillover effects account for about 20% of total volatility in the system in the sample period. (ii) Agricultural energy consumption is the dominant gross volatility emitter in this system, while GHG emissions are the dominant gross volatility receiver. (iii) Oil price fluctuation contributes approximately 43% to the total volatility in GDP per capita. We do not observe a strong link between agricultural emissions and GDP per capita in terms of volatility spillovers. Importantly, given the observed significant impact of oil price, energy consumption, and food production on changes in welfare, we conjecture that monitoring the interactions of these sectors is a policy priority.
U2 - 10.1016/j.eneco.2021.105391
DO - 10.1016/j.eneco.2021.105391
M3 - Article
SN - 0140-9883
VL - 100
JO - Energy Economics
JF - Energy Economics
M1 - 105391
ER -