A Bayesian panel vector autoregression to analyze the impact of climate shocks on high-income economies
- Author(s)
- Tamás Krisztin, Florian Huber, Michael Pfarrhofer
- Abstract
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 vector autoregressions. 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 toward pronounced global reactions of key macroeconomic quantities to climate shocks. Moreover, the empirical findings highlight substantial linkages between regionally located shocks and global commodity markets.
- Organisation(s)
- Department of Economics
- External organisation(s)
- Paris-Lodron Universität Salzburg, International Institute for Applied Systems Analysis
- Journal
- The Annals of Applied Statistics
- Volume
- 17
- Pages
- 1543-1573
- No. of pages
- 31
- ISSN
- 1932-6157
- DOI
- https://doi.org/10.1214/22-AOAS1681
- Publication date
- 09-2022
- Peer reviewed
- Yes
- Austrian Fields of Science 2012
- 502025 Econometrics, 502018 Macroeconomics
- Keywords
- ASJC Scopus subject areas
- Statistics and Probability, Statistics, Probability and Uncertainty, Modelling and Simulation
- Portal url
- https://ucris.univie.ac.at/portal/en/publications/a-bayesian-panel-vector-autoregression-to-analyze-the-impact-of-climate-shocks-on-highincome-economies(55de0d69-1290-4508-93d6-7eccdb2594b3).html