Environmental Energy and Economic Research

Environmental Energy and Economic Research

Analyzing the Dynamics of Economic–Environmental Variable Linkages using the QVAR Model: Investigating Spillovers Across Quantiles and Crisis Periods

Document Type : Research Article

Authors
1 Department of Economics, Payame Noor University (PNU), Tehran, Iran
2 Department of Economics, Hakim Sabzevari University, Sabzevar, Iran
3 Department of Basic Science, Faculty of Basic and General Studies, Technical and Vocational University (TVU), Tehran, Iran
Abstract
This study examines volatility spillovers among economic and environmental variables in OPEC member countries under varying market conditions. Using a high-frequency daily panel dataset (2006–2023) constructed through linear interpolation, we apply the Quantile Vector Autoregression (QVAR) connectedness approach within the Diebold and Yilmaz (2012, 2014) framework at the 25th, 50th, and 75th quantiles. The Total Connectedness Index exhibits a clear U-shaped pattern, with significantly stronger interdependence during extreme (lower- and upper-tail) states than under normal conditions. Spillovers intensify markedly during major crises, including the Global Financial Crisis, COVID-19 pandemic, Russia–Ukraine war, and Silicon Valley Bank collapse. Iran and Equatorial Guinea consistently emerge as net transmitters of shocks, whereas the United Arab Emirates and Algeria are the primary net receivers, particularly in extreme quantiles. These findings highlight the heightened systemic vulnerability of oil-dependent economies and underscore the need for diversification, coordinated policy responses, and dynamic risk-monitoring tools.


Keywords: Volatility spillovers; Quantile connectedness; Systemic risk; OPEC; Economic-environmental nexus
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