Diverse spillover effects of COVID-19 control measures on air quality improvement: evidence from typical Chinese cities.

The COVID-19 prevention and control measures are taken by China's government, especially traffic restrictions and production suspension, had spillover effects on air quality improvement. These effects differed among cities, but these differences have not been adequately studied. To provide more knowledge, we studied the air quality index (AQI) and five air pollutants (PM2.5, PM10, SO2, NO2, and O3) before and after the COVID-19 outbreak in Shanghai, Wuhan, and Tangshan. The pollution data from two types of monitoring stations (traffic and non-traffic stations) were separately compared and evaluated. We used monitoring data from the traffic stations to study the emission reduction caused by traffic restrictions. Based on monitoring data from the non-traffic stations, we established a difference-in-difference model to study the emission reduction caused by production suspension. The COVID-19 control measures reduced AQI and the concentrations of all pollutants except O3 (which increased greatly), but the magnitude of the changes differed among the three cities. The control measures improved air quality most in Wuhan, followed by Shanghai and then Tangshan. We investigated the reasons for these differences and found that differences in the characteristics of these three types of cities could explain these differences in spillover effects. Understanding these differences could provide some guidance and support for formulating differentiated air pollution control measures in different cities. For example, whole-process emission reduction technology should be adopted in cities with the concentrated distribution of continuous process enterprises, whereas vehicles that use cleaner energy and public transport should be vigorously promoted in cities with high traffic development level.

Exposure to negative foreign COVID-19 news predicts lower support for immigration policy in China.

We present a framework for studying the spillover effect of negative foreign COVID-19 news on attitudes towards immigration. Our framework proposes that exposure to negative COVID-19 news from foreign countries can activate negative associations with foreigners, reduce positive attitudes towards them, and increase perceived threat, ultimately leading to decreased support for immigration. We conducted three studies to test this framework. Study 1 found that exposure to negative COVID-19 news about a foreign country increased negative valence associations with that country. Study 2 showed that exposure to more negative COVID-19 news about foreign countries was associated with lower acceptance of immigration policies in real life. Study 3 replicated the spillover effect of negative news exposure using a scenario manipulation. The effects of negative news exposure on immigration policy acceptance in both Studies 2 and 3 were mediated by changes in foreigner attitudes and intergroup threat. Our results demonstrate the important spillover effect of negative foreign COVID-19 news exposure on immigration attitudes and highlight the association perspective as a foundation for understanding attitude changes during the COVID-19 pandemic.

Asymmetric volatility spillover among global oil, gold, and Chinese sectors in the presence of major emergencies

The volatility of international crude oil and gold markets has affected stock markets through several economic channels, and the impact tends to be more evident with the appearance of emergencies. However, the volatility linkages between commodities and Chinese sector stocks in the presence of emergencies are understudied. To examine the asymmetric relationship and time-varying connectedness between commodities and Chinese sector stocks, this paper first employs GJR-GARCH to capture the realized volatility of international oil, gold, and Chinese sector stocks. Secondly, we decompose the realized volatility of international oil and gold into bad and good volatility and then employ the TVP-VAR-DY approach to obtain the connectedness index. The final result shows asymmetric volatility spillover among oil, gold, and Chinese sector stocks. During the COVID-19 outbreak, the gold good volatility transmission is intenser than bad volatility. Thirdly, the analysis is also carried out under different subperiods. They include three international events: the global financial crisis and the European debt crisis, the oil crisis, and COVID-19. The result reveals heterogeneity exists in the impact of international oil and gold on the Chinese sector stocks under different emergencies. These findings are of great significance for policymakers to improve the sector management under the impact of different emergencies and for investors to design diversified portfolios according to the commodity-sector risk spillover effects. © 2023 Elsevier Ltd

The interconnectedness across risk appetite of distinct investor types in Borsa Istanbul

PurposeThis study aims to investigate the interconnectedness across the risk appetite of distinct investor types in Borsa Istanbul. This study also examines the causal impact of global implied volatility indices on the risk appetite of these investor groups.Design/methodology/approachThe authors use a novel time-varying frequency connectedness framework of Chatziantoniou et al. and a new time-varying Granger causality test with a recursive evolving procedure by Shi et al. over June 2008 and July 2022.FindingsThe results show a high level of interconnectedness across the risk appetite of different investor types. The sizable spillovers to domestic types of investors either occur from professional or foreign investors, indicating the long-term dominant effect of foreign and more qualified investors on the domestic investors in Borsa Istanbul. The authors provide significant evidence of causality from the global implied volatility to the Borsa Istanbul risk appetite indices, which are getting stronger after the COVID-19 outbreak.Originality/valueUnlike the previous studies, the authors analyze the risk appetite sub-indices of various types of investors to reveal behavioral distinctions and interconnectedness across them. The authors use a novel econometric framework to assess investors' risk appetite in different investment horizons in a time-varying system. Together with volatility index (VIX), the authors also use volatilities of oil (OVX), gold (GVZ) and currency (EVZ), considering the information transmission not only from stock markets but also energy, metals and currency markets. The present data set covers significant financial crises, socioeconomic events and the COVID-19 outbreak.

Hidden causality between oil prices and exchange rates

This work investigates the interactions between oil prices and exchange rates of 6 typical oil importers (China, Japan, and India) and exporters (Canada, Russia, and Saudi Arabia) from 2006 to 2022. We employ a novel method to capture their causal interactions, namely pattern causality, and compare the results to that based on the volatility spillover method. The empirical analysis supports most existing findings that oil prices are bidirectional correlated with exchange rates. However, unlike previous studies that only investigate positive and negative causalities, we highlight dark causality as a more complex interaction. Moreover, dark causality suggests that successive increases (decreases) in oil prices tend to drive the exchange rates of oil exporters to act in an oscillatory manner rather than in a purely positive or opposite trend, and vice versa. Furthermore, we also reveal that dark causality shows dominance during crises, e.g., the global financial crisis, the European debt crisis, the epidemic of COVID-19, and the Russia-Ukraine conflict. Revealing three types of causalities between oil prices and exchange rates helps policymakers develop more diversified macroeconomic policies. Moreover, the newly identified dark causality can be a useful indicator for investors to risk management. © 2023

Dynamic spillover between traditional energy markets and emerging green markets: Implications for sustainable development

This study employs the time-varying vector parameter autoregression model and Diebold-Yilmaz (2012, 2014) spillover approach to explore the static, net, dynamic and directional spillover effects between China's traditional energy and emerging green markets and the impact of the COVID-19 outbreak on spillover effects. Spillover networks are constructed to observe structural changes in the directional spillover of each target financial market before and after the pandemic's outbreak. Changes in hedging indicators of portfolios composed of two types of markets before and after the outbreak of COVID-19 are compared to provide directional guidance for investors to choose portfolios in the post-pandemic era. We found that the outbreak of the pandemic had a considerable impact on the volatility of various spillover effects of the studied markets. The total spillover level of the system increased rapidly by 18% in the early stages of the pandemic. Green bond was the largest net recipient of volatility spillovers in the whole system, followed by crude oil, while new energy was the largest net contributor of volatility spillovers in the whole system, followed by clean energy. After the outbreak, the hedging effectiveness of portfolios with long positions in traditional energy markets and short positions in emerging green markets improved significantly. In particular, a portfolio with long positions in the crude oil market and short positions in the green bond market is the best risk-hedging portfolio. © 2023 Elsevier Ltd

Systemic risk and financial system network using financial risk meter: the case of Vietnam

In the financial market, systemic risk is defined as the possibility that an event at the company level could trigger severe instability or collapse of an entire industry or the whole economy. Thus, understanding systemic risk is crucial for the financial institutions, large corporations, investors and regulators. This article investigates systemic risk and spillover effect using the new Financial Risk Meter ((Formula presented.)) index, which is obtained from running quantile linear regression and Least Absolute Shrinkage and Selection Operator ((Formula presented.)) method. The (Formula presented.) index is obtained to identify the highly risky periods, the contributors to systemic risk and the potential activators of spillover effect. Moreover, interconnection between firms can be visualized as a network. We use a data set consisting of daily stock returns from 35 financial institutions and real estate firms in Vietnam, combined with 4 macroeconomic variables over the period from November 2011 to December 2020. The findings indicate that over the considered period, some detected highly risky periods are 2012, 2018 and 2020, probably due to the non-performing loan crisis in Vietnam, US-China trade war and global COVID-19 outbreak. Some active activators of risk spillover effect are also identified. © 2023 Informa UK Limited, trading as Taylor & Francis Group.

Risk Dependence and Risk Spillovers Effect from Crude Oil on the Chinese Stock Market and Gold Market: Implications on Portfolio Management

We analyze crude oil's dependence and the risk spillover effect on the Chinese stock market and the gold market. We compare both static and dynamic copula functions and calculate the average upward and downward spillover effect using the time-varying Copula model and the conditional value-at-risk approach. By utilizing daily data on crude oil prices, China's stock market, and the gold market, we observe an asymmetric spillover effect: the downside spillover effects from crude oil prices on the Chinese stock market and gold market are larger than the upside spillover effect. We then identify changes in the structure of the sample periods and calculate the dynamic conditional correlation between them. In addition, we explore the optimal weight and hedge ratios in diversified portfolios to mitigate potential risks. Our results suggest that investors and portfolio managers should frequently adjust their portfolio strategies, particularly during extreme events like COVID-19, when financial assets become more volatile. Furthermore, crude oil can help reduce the risk in the Chinese stock market and gold market to some extent during different sub-periods. © 2023 by the authors.

Dynamic connectedness in commodity futures markets during Covid-19 in India: New evidence from a TVP-VAR extended joint connectedness approach

This paper presents a unique time-varying parameter vector autoregression (TVP-VAR) based extended joint connectedness approach to quantify the connectedness and transmission mechanism of shocks of nine commodities futures returns (namely;Gold and Silver from the category of precious metals;Copper, Lead, Zinc, Nickel and Aluminium from the category of base or industry metals;Natural Gas and Brent Crude Oil from energy sector) obtained from Multi Commodity Exchange of India Limited (MCX) from January 1, 2018 to December 31, 2021. This paper employs Balcilar et al. (2021)'s TVP-VAR extended joint connectedness approach, which combines the TVP-VAR connectedness approach of Antonakakis et al. (2020) with the joint spillover approach of Lastrapes and Wiesen (2021), to investigate the dynamic connectedness among the select commodity futures of interest. Our findings show that system-wide dynamic connectedness varies over time and is driven by economic events. The pandemic shocks appear to have an impact on system-wide dynamic connectedness, which peaks during the COVID-19 pandemic. Crude oil and zinc are the primary net shock transmitters, whereas gold and silver are the primary net shock receivers. We also discovered that the role of aluminum in shock transmitters and shock receivers changed during the course of the investigation. Pairwise connectivity, on the other hand, shows that Zinc, Copper, Nickel, and Crude oil are the key drivers of gold price changes, explaining the network's high degree of interconnectivity. During the study period, it was also discovered that silver has a significant influence on gold. Furthermore, in comparison to natural gas, gold's spillover activity is still relatively modest (on a scale), indicating that gold is less sensitive to market innovations. © 2023 Elsevier Ltd

Information spillovers between carbon emissions trading prices and shipping markets: A time-frequency analysis

Climate change has become mankind's main challenge. Greenhouse gas (GHG) emissions from shipping are not totally irresponsible for this representing, roughly, 3% of the global total;an amount equal to that of Germany's total GHG emissions. The Fourth Greenhouse Gas Study 2020 of the International Maritime Organization (IMO) predicts that the share of GHG emissions from shipping will increase further, as international trade recovers and continues to grow, alongside with the economic development of India, China, and Africa. China and the European Union have proposed to include shipping in their carbon emissions trading systems (ETS). As a result, the study of the relationship between the carbon finance market and the shipping industry, attempted here for the first time, is both important and timely, both for policymakers and shipowners. We use wavelet analysis and the spillover index methods to explore the dynamic dependence and information spillovers between the carbon finance market and shipping. We discover a long-term dependence and information linkages between the two markets, with the carbon finance market being the dominant one. Major events, such as the 2009 global financial crisis;Brexit in 2016;the 2018 China-US trade frictions;and COVID-19 are shown to strengthen the dependence of carbon finance and shipping. We find that the dependence is strongest between the EU carbon finance market and dry bulk shipping, while the link is weaker in the case of tanker shipping. Nonetheless, carbon finance and tanker shipping showed a relatively stronger dependence when OPEC refused to cut production in 2014, and when the China-US trade disputes led to the collapse of oil prices after 2018. We show that information spillovers between carbon finance and shipping are bidirectional and asymmetric, with the carbon finance market being the principal transmitter of information. Our results and their interpretation provide guidance to governments on whether (and how) to include shipping in emissions trading schemes, supporting at the same time the environmental sustainability decisions of shipping companies. © 2023 The Authors

Financial stress spillover network across Asian countries in the context of COVID-19

Using the dynamic connectedness framework of Antonakakis et al. (2020), this paper explores the financial stress spillover characteristic across nine Asian countries during major economic, political and public health emergency events, especially during COVID-19. We first find a substantial increase in the intensity of total financial stress spillover across nine Asian countries during COVID-19. Second, there are clear differences in the financial stress spillover networks across Asian countries during different economic and political events. In particular, in the first three months after the outbreak of COVID-19, there was considerable month-to-month variation in the financial stress spillover network. Singapore and Japan are the major net transmitter and receiver of financial stress shocks, respectively, during all considered events. During COVID-19, China, as the first country to detect and contain COVID-19, is the strongest net financial stress shock receiver in March 2020, but transmitted net financial stress shocks in February 2020, when the epidemic in China is serious.

Can the Social Network Hinder the Impact of COVID-19 on Economic Uncertainty? New Evidence from China

This study investigates the impact of the COVID-19 pandemic on economic uncertainty and its spillover network based on social network analysis. The study constructs the inter-provincial Chinese economic uncertainty spillover network using a mixed frequency dataset and the provincial social network using microblog user data. Furthermore, the temporal exponential random graph model is used to analyze the impact of COVID-19 and social network during three periods. The results show that the COVID-19 pandemic significantly affects China's provincial economic uncertainty and social network significantly hinders economic uncertainty spillover networks. The inhibitory effect of social networks on uncertainty spillover network has regional heterogeneity, which is more significant in provinces severely affected by the pandemic and strictly controlled. © 2023 Taylor & Francis Group, LLC.

Dynamic returns to scale and geography in U.S. banking: Papers and Proceedings

We observe spatial cost dependence among medium‐sized and large U.S. banks (1998Q1–2020Q4). We contribute to the literature by accounting for this using an accessible dynamic spatial econometric cost model. For a movement along a bank's output expansion path, we calculate the cost returns that spillover to/from the bank. The noticeable impacts of the 2020 COVID pandemic are on the spillover cost returns and not the own returns. These spillover returns suggest the pandemic led to the smallest (largest) banks becoming suboptimally smaller (bigger). A number of banks with high‐ranking spillover returns have geographically concentrated branches and/or specialize in particular activities.Alternate :Se observó una dependencia espacial de los costos entre los bancos estadounidenses medianos y grandes (1998T1–2020T4). El artículo contribuye a la bibliografía al tener en cuenta este hecho mediante un modelo econométrico espacial de costos dinámico y accesible. Para un movimiento a lo largo de la estrategia de expansión de la producción de un banco, se calculan los rendimientos de costos que hacen spillover hacia/desde el banco. Las repercusiones notables de la pandemia de COVID de 2020 se producen en los rendimientos de los costos indirectos y no en los rendimientos propios. Estos rendimientos de los spillovers sugieren que la pandemia llevó a los bancos más pequeños (más grandes) a ser subóptimamente más pequeños (más grandes). Varios bancos con altos rendimientos de spillovers tienen sucursales concentradas geográficamente o que se especializan en actividades concretas.Alternate :抄録本稿では、米国の中規模および大規模銀行のコストの空間依存性を観察する(1998年の第一四半期~2020年の第四四半期)。利用しやすい動的空間計量経済コストモデルを用いてこれを説明し本分野の研究に貢献する。銀行のアウトプット拡張経路に沿った動きに関して、銀行から、又は銀行へのスピルオーバーのコストリターンを計算する。2020年の新型コロナウイルス感染症のパンデミックによる顕著な影響は、自己へのリターンではなく、スピルオーバーのコストリターンに対するものである。こうしたスピルオーバーのリターンから、パンデミックにより最小規模(又は最大規模)の銀行が最適ではない規模にまで縮小(又は拡大)させられたことが示唆される。スピルオーバーのリターンの高い上位銀行の多くは、支店が地理的に集中しているか、特定の活動に特化している。

Changing Work, Changing Families, and Public Policies Toward Low-Income Families

[...]overall economic inequality has notably increased (whether measured by earnings, income, or wealth), and many lower-income families today experience poverty and economic hardship. David Autor (2014) describes some of the key trends behind rising premiums to education and high skills;he finds that the earnings gap between college and high school–educated men roughly doubled in the three decades between 1979 and 2012, and that this trend is nearly as strong for women. [...]those without a college degree are increasingly left out of experiencing the fruits of economic growth. Nonstandard Schedules Work schedules are also more variable, and work is more likely to occur during nonstandard hours (Presser 2003;Lozano, Hamplová, and Le Bourdais 2016;Craig and Powell 2012;Golden 2015);and unstable work schedules have been linked with a lower likelihood of having health insurance (Lim 2019) and greater adverse health outcomes (Schneider and Harknett 2019). Some research has even found that union density or coverage predicts positive spillovers to wages of nonunion private-sector employees (Denice and Rosenfeld 2018), suggesting that the decline in union membership affects the economic potential and economic security not only of union members themselves.

The Covid 19 Exogenous Shock and the Crafting of New Multilateral Trade Rules on Subsidies and State Enterprises in the Post-Pandemic World

This Article discusses existing WTO rules on subsidies and state enterprises, relevant caselaw and reform prospects in light of key geopolitical developments and changes in the global economy emerging in the aftermath of the Covid-19 pandemic. Following a general introduction, the Article critically analyzes present WTO rules on industrial subsidies, focusing inter alia on the new problems raised by activist industrial policies pursued by global trading powers, foreign subsidization, the climate change shock and environmental exigencies. It then shifts attention to the application of WTO rules on subsidies to the state sector and the increasing demands for new international trade rules on non-subsidies measures to address the negative spillover effects on trade from government influence on state-owned enterprises (SOEs). With respect to each of these matters, the Article first clarifies the terms of the problem in relation to existing WTO rules and caselaw, and next examines the question of how, and to what extent, "deeper” free trade agreements (FTAs)—those that experts designate as models for WTO reforms on the matter—establish new rules that permit to adequately address the trade concerns raised by SOEs' commercial and financial activities. Based on this multi-layered analysis, the article concludes by examining prospects of reform of WTO rules on state interventionism.

Market fear, investor mood, sentiment, economic uncertainty and tourism sector in the United States amid COVID-19 pandemic: A spillover analysis

The study investigates and confirms the spillover effects from investor fear, mood, sentiment and uncertainty to the US tourism sector returns. The findings indicate that market fear, investor mood and sentiment are net transmitter of shocks and economic uncertainty and the tourism sector is net receiver of shocks. We also provide evidence that media-hype, infodemic, media-coverage related to COVID-19 and infectious disease equity market volatility impacts the total and directional spillover of information from fear, mood, sentiment and uncertainty to the tourism sector.

Can the Growth of the Digital Economy Be Beneficial for Urban Decarbonization? A Study from Chinese Cities

An environmentally friendly city is a livable home for the future. Can the rapidly developing digital economy help decrease carbon emissions and realize a low-carbon and clean city promptly? This study focuses on examining how multi-dimensional digital economic growth has influenced CO2 emissions across 280 Chinese cities from 2011 to 2019. Findings discover that (1) An "n”-type curve nexus exists between CO2 emissions and the digital economy in Chinese cities, which means that digital economy expansion initially strengthens CO2 emissions, but at a certain level, it can help achieve the target of urban decarbonization;(2) The digital economy's influence on CO2 emissions is spatially spilled and regionally heterogeneous, and by means of economies of scale and industrial composition upgrades, it can help the city to lower carbon emissions and benefit the low carbonization of neighboring cities. However, based on the "rebound effect”, the intermediary role of technological effects in reducing emissions in the short term is not apparent;(3) The expansion of trade openness and appropriately stringent environmental rules in line with national conditions are beneficial to lower CO2 emissions in the city and the surrounding cities in the short term. It is recommended that policy makers actively promote the development of the digital economy, strengthen exchanges and cooperation between cities, narrow the gap between cities, and actively learn the advanced management concepts of surrounding cities through the development of economies of scale and industrial structure transformation to accomplish the target of "carbon neutrality” sooner rather than later.

Analysis of the spillover effects between green economy, clean and dirty cryptocurrencies

Cryptocurrencies have been widely used as financial instruments over the past decade. Given the development of the cryptocurrency market and the increasing awareness of greener and more energy-efficient tokens, their connection to the green economy has become a popular topic for understanding economic and policy issues. However, the literature still lacks clear evidence on how cryptocurrencies interact with green economy indicators. Therefore, this study examines the correlations and spillover relationships between green economy indices, five black cryptocurrencies, and five clean cryptocurrencies for the U.S., Euro, and Asian markets. To this end, it applies the novel quantile spillover index approach of Ando et al. (2018) to daily data from November 9, 2017, to April 4, 2022. The empirical results show that the overall linkage is stronger for green economy indices and clean cryptocurrencies than for dirty cryptocurrencies. Moreover, green economy indices show net receiving behavior, while cryptocurrencies' results differ across variables, quantiles, and time. In addition, a notable point for clean cryptocurrencies is 2020, which was the start of the COVID-19 pandemic. The overall spillover effect is very high for all quantiles for the three markets, especially for Asia. This outcome signifies the safe harbor property for diversification purposes of the green economy. The results presented in this study are important for investors, regulators and, policymakers, cryptocurrency founders as they seek to be financially integrated and develop a more sustainable business. © 2023

Direct and spillover portfolio effects of COVID-19.

This paper investigates the direct and spillover portfolio effects from the global outbreak of COVID-19. We find that an increase of the newly added cases of one specific country causes investors to significantly decrease their portfolio allocations in the outbreak countries (direct effect). Simultaneously, investors also decrease their allocations to other countries (spillover effect). In addition, we provide evidence and documentation that the transmission mechanism underlying foreign exposures matter to the above-mentioned portfolio effect. Moreover, we provide evidence for phase heterogeneity. The first wave of the COVID-19 pandemic has significant direct and spillover portfolio effects, but the impacts are weakened in second wave of the pandemic. The capital reallocation effect occurs only when the disease becomes global. Finally, our heterogeneities analysis shows that both local and spillover effects are mitigated when the economies are more developed and democratic and when the country has better health care facilities.

Role of fiscal and monetary policies for economic recovery in China

After the pandemic, China's fiscal and monetary authorities implemented macroeconomic restructuring measures to combat the pandemic. Using a difference-in-difference model based on data collected during the COVID-19 phase, this study attempted to determine the economic recovery in China using the pandemic means for economic growth and energy consumption in other economies. A 0.21 percent increase in the western region's economic growth is comparable to a 0.15 percent increase in the growth of the southern central and northern regions during the pandemic period. Accordingly, we found evidence of actual provincial spillover effects in the clustering of high- and poor-performing regions. The impact of China's economic resurgence beyond the pandemic phase plays an important role in expanding power consumption in different regions. Since headwinds hamper economic development to aggregate output, fiscal policy is the sole option for maintaining pollution levels while simultaneously improving household well-being in terms of demand and employment.