Capturing dynamic spillover effects between green economy and dry bulk shipping market

This paper is motivated by the growing concern with transport emissions and the need for identifying the underlying relationship between the shipping market(s) and the green economy. It employs an approach based on the use of the time-varying parameter vector autoregressive model (TVP-VAR) to explore dynamic connectedness between three sub-segments of the dry bulk shipping market (i.e. the Capesize, Panamax, and Handymax sectors) and the green economies of the U.S., Europe, and Asia. The results are analyzed and compared, revealing that the U.S. green economy plays a dominant role in the information transmission framework most of the time, while the European green economy closely shadows the U.S. green economy. The Capesize market is found to play the role of information transmitter when there is a large demand for dry bulk ships. The results of the analysis also suggest that the Panamax and Handymax markets are more likely to be under the influence of the green economy. The Asian green economy is found to be an information receiver in all circumstances.