Spillover Model Research Articles

Quantile risk spillovers between energy and agricultural commodity markets: Evidence from pre and during COVID-19 outbreak

The spillover effect is a significant factor impacting the volatility of commodity prices. Unlike earlier studies, this research uses the rolling window-based Quantile VAR (QVAR) model to describe the conditional volatility spillover between energy, biofuel and agricultural commodity markets. Since the magnitude of connectedness and spillover effects may switch between bearish and bullish market states over time, a QVAR model is a relatively realistic and appropriate approach to capture the connectedness as compared to the mean-based approaches of Diebold and Yilmaz (DY; 2009, 2012, & 2014) which are mostly used in the literature. To this end, we employ volatility estimates by using the realized variance advanced by Parkinson (1980). Specifically, we investigate the time-varying volatility spillovers and connectedness among agricultural markets (wheat, corn, sugar, soyabean, coffee, and cotton), energy markets (gasoline, crude oil, natural gas) and biofuel (ethanol) markets from January 12, 2012 to May 10, 2021. By comparing our empirical analysis with results from the DY spillover model, we establish that connectedness is stronger in the left and right quantiles than those in the mean and median of the conditional distribution, emphasizing the importance of systematic risk spillovers during extreme market movements. Furthermore, results find that volatility spillovers and connectedness in the right tail is higher than in the left tail. In particular, we document significant volatility spillovers from agricultural markets to energy markets during extreme markets conditions and observe the dominance of agricultural markets over energy markets. To ascertain the impact of COVID-19 on the volatility of markets examined, we divide our sample into sub-samples and observe significant variation in the level of volatility spillovers and connectedness across the markets before and during the outbreak of COVID-19. Finally, some useful implications are summarized for investors' portfolios and risk avoidance.

To What Extent Does Environmental Regulation Influence Emission Reduction? Evidence from Local and Neighboring Locations in China

Setting environmental regulation policy is an important practice to reach the goal of ecological environmental protection. By establishing fixed effects and spatial spillover models, this paper examines the relationship between the environmental regulation of carbon emissions and the impact on spatial spillovers. The results of our analysis show that: 1. environmental regulation has significant inhibitory effects on carbon emissions, which is beneficial to carbon dioxide emission reduction, and 2. environmental regulation has a significant inhibitory impact on local carbon emissions but increases carbon emissions in neighboring locations. Therefore, in order to achieve the aim of carbon emission reduction, appropriate environmental regulation policies should be established, which, in turn, would provide better coordination of the carbon emission relationship between different regions. Meanwhile, environmental regulation plays an important role in protecting the environment. To strengthen environmental governance and promote the coordinated development of regional carbon emission reduction, we need to implement a top-level design of environmental regulation and build a market-oriented environmental regulation system.

A Spillover Model of Dreams and Work Behavior

Sleep and employee behavior are linked. While the dominant explanations for this link involve physiology and cognitive resources, we offer a different perspective. We suggest that dreams, or psychological experiences during sleep, spill over to affect employee behavior. This spillover effect, we argue, results from the interplay between dreaming, meaning creation, and emotion. Taking a morning-of perspective, we theorize that recalling and ascribing meaning to dream experiences elicits awe—an epistemic emotion produced by appraisals of vastness and a need for cognitive accommodation. In turn, because awe reduces individuals’ focus on themselves and their concerns, we argue that experiencing awe upon awakening increases employee resilience, and ultimately goal progress, throughout the workday. However, because awe entails a felt need to expand one’s existing ways of knowing, employees may vary in their receptivity to awe. We therefore argue that the link between awe and resilience hinges on trait epistemic curiosity, or employees’ inherent desire to seek and acquire new knowledge. Across three studies—including a morning-of field study, a single-day morning-afternoon study, and a preregistered two-week experience sampling study—we find that ascribing positive meaning to dreams elicits awe, which in turn promotes resilience, and ultimately goal progress, throughout the workday.

Are non-fungible tokens (NFTs) different asset classes? Evidence from quantile connectedness approach

The emerging Non-fungible tokens (NFTs) have received investors’ attention as an alternative asset, whereas the nexus between NFTs and major asset classes remains unsettled and emerges as an issue of unquestionable interest. Using a novel Q-Joint spillover model, we explore the quantile connectedness between NFTs and common asset classes. We reveal that return and volatility cross-asset spillovers are much higher in extreme market conditions than that of normal times. The noticeable directional connectedness and results of hierarchical clustering of directional spillovers hint that NFTs should not be considered as a distinct asset class in extreme market conditions.

지식재산 보호 체제 형성에 대한 내생적 균형

Purpose This study studies the conditions for the endogenous intellectual property protection(IPP). Design/Methodology/Approach Based on the research and development (R&D) spillover model by d’Aspremont and Jacquemin (1988), the analytical framework of this study is set up. Findings For a given low IPP cost and large R&D spillover to make IPP highly efficient, instead of choosing “no use of the mechanism”, the firms optimally choose “use the mechanism”. In this situation, the profits is worse off, which is a clear case of prisoner’s dilemma. In contrast, for a given high IPP cost that makes IPP inefficient, each firm has an incentive to choose the strategy of “no use of the mechanism”. Research Implications Our finding does not support the public-generating a large volume of domestic IPP. In some countries, the government-supported policies to drive firms to create greater intellectual property rights have been widely established. If the polices reduce IPP costs, the distortion in producer surplus will be larger.

A Spillover Model of Dreams and Work Behavior: How Dream Meaning Ascription Promotes Awe and Employee Resilience

A Spillover Model of Dreams and Work Behavior: How Dream Meaning Ascription Promotes Awe and Employee Resilience

Hierarchical contagions in the interdependent financial network

We derive the default cascade model and the fire-sale spillover model in a unified interdependent framework. The interactions among banks include not only direct cross-holding, but also indirect dependency by holding mutual assets outside the banking system. Using data extracted from the European Banking Authority, we present the interdependency network composed of 48 banks and 21 asset classes. For the robustness, we employ three methods, called Anan, Hała and Maxe, to reconstruct the asset/liability cross-holding network. Then we combine the external portfolio holdings of each bank to compute the interdependency matrix. The interdependency network is much denser than the direct cross-holding network, showing the complex latent interaction among banks. Finally, we perform macroprudential stress tests for the European banking system, using the adverse scenario in EBA stress test as the initial shock. For different reconstructed networks, we illustrate the hierarchical cascades and show that the failure hierarchies are roughly the same except for a few banks, reflecting the overlapping portfolio holding accounts for the majority of defaults. We also calculate systemic vulnerability and individual vulnerability, which provide important information for supervision and relevant management actions.

Collaborative evolution of regional green innovation system under the influence of high-speed rail based on Belousov-Zhabotinsky reaction.

As a green transportation mode and carrying factors with high knowledge-intensive characteristics, high-speed rail (HSR) has contributed to the improvement of regional green innovation. However, the relationship between HSR and regional green innovation is still limited. Based on the Belousov-Zhabotinsky (B-Z) reaction model, this study establishes a three-dimensional logistic dynamic evolution model for factor flow, knowledge spillover and green innovation performance. Through linear stability analysis, the threshold conditions for the evolution of the regional green innovation system under the influence of HSR are explored, and the impact of HSR policy on the regional green innovation system under four different initial states is examined. The results reveal four major points: (1) Factor flow is the order parameter and shows a significant collaborative relationship with green innovation performance. (2) The opening of HSR can effectively promote the evolution of the regional green innovation system, and the powerful stimulus of HSR contributes to shortening its evolutionary cycle. (3) The initial state of the regional green innovation system plays a crucial role in the green innovation performance. (4) In the process of collaborative evolution of regional green innovation system, factor flow and knowledge spillover serve as the premise and foundation, respectively, to jointly promote green innovation performance enhancement. Findings not only provide references for decision-makers to implement green innovation strategy and boost the green innovation performance, but also extend the theoretical system of HSR effect and collaborative evolution.

The impact mechanism of high-speed railway on regional green innovation spillover under multi-dimensional paths

As a major technological innovation, high-speed railway (HSR) has profoundly influenced the regional sustainable development (i.e., economy, society, and ecology). Meanwhile, green innovation is a critical catalyst for sustainable development. However, the impact of HSR on regional green innovation has received little attention. To fill the research gap, this paper reveals the driving effects of HSR on regional green innovation spillover by employing the three heat transfer methods in physics. Specifically, Stackelberg game models are constructed to imitate the production and sales distribution strategies of two competitive firms in the conduction path and the convection path. Furthermore, the regional green innovation spillover model under the radiation path is constructed. The main findings are as follows: (1) HSR has a significant positive impact on regional green innovation spillover. (2) After the HSR opening, apart from production cost and spillover elasticity, production distribution and carbon emission may affect the choice of regional green innovation in the conduction path. Sales distribution and price elasticity may have significant effects on the choice of regional green innovation in the convection path. (3) The size of regional green innovation spillover from HSR depends on changes in the accessibility of central and peripheral areas. (4) The regional green innovation spillover is negatively correlated with distance to HSR stations in the radiation path. This research provides a theoretical basis for improving the HSR network. Suggestions are put forward on how to carry out green innovation activities effectively. Innovation-driven strategies are suggested to be prioritized.

Context matters: Longitudinal associations between marital relationships and sibling relationships in Black families

AbstractObjective and BackgroundSibling relationship qualities have been linked to parents' marital dynamics, but we know little about the contextual conditions underlying these linkages. We examined longitudinal associations between parents' reports of their marital satisfaction and conflict and siblings' reports of warmth and conflict and tested whether these associations varied by family economic strain, neighborhood economic disadvantage, and parent and youth gender.MethodData were collected in three annual home interviews with mothers and fathers and two adolescent siblings from 185 Black families.ResultsResults from multilevel models showed that associations between mothers' and fathers' marital and youth's sibling relationship varied according to neighborhood socioeconomic disadvantage, family economic strain, and youth gender. For example, consistent with a spillover model, on occasions when parents reported more marital conflict than usual, youth reported less sibling positivity, but only when parents also experienced less economic strain than usual. Supporting a compensation hypothesis, on occasions when parents reported more marital conflict than usual, boys reported more sibling positivity.ConclusionsResults provide new insights into family systems processes in an understudied group, including the role of contextual factors and youth gender in shaping those processes.ImplicationsResearchers and practitioners should consider multiple family relationship dynamics and the larger family contexts in which these relationships take place to better understand youth relational adjustment.

Spillovers between Sukuks and Shariah-compliant equity markets

In this paper, we quantify the directional spillovers from sukuk (Islamic bond) markets to Shariah-compliant equity markets and vice versa. The directions and magnitudes of spillovers are quite disperse among different countries and Islamic equity and sukuk markets. Novel to the literature, we find that profitability and liquidity positions of the Islamic firms and market size are highly influential on the magnitude of spillovers between two markets. In particular firms from deeper markets (higher market capitilization) with better liquidity position (better debt to asset ratios) makes less spillovers from sukuk and equity markets interestingly, deeper markets and higher profitability ratios of the firms makes greater spillovers from equity to sukuks markets. We also create a matched sample for 38 firms that issued both sukuks and Islamic equities. Implementing similar spillover models to the matched sample, we indicate that firm-level profitability and liquidity positions of firms are essential in modelling the magnitude of the spillovers between sukuks and equities.

Phylogenetic Tests of Models of Viral Transmission

The hunt for the immediate non-human host of SARS-CoV-2 has centered on bats of the genus Rhinolophus. We explored the phylogenetic predictions of two models of viral transmission, the Spillover Model and the Circulation Model and suggest that the Spillover Model can be eliminated. The Circulation Model suggests that viral transmission occurs among susceptible hosts irrespective of their phylogenetic relationships. Susceptibility could be mediated by the ACE2 gene (important for viral docking) and we constructed a phylogeny of this gene for 159 mammal species, finding a phylogenetic pattern consistent with established mammalian relationships. The tree indicates that viral transfer occurs over large evolutionary distances. Although lacking consensus, some studies identify a virus from a particular R. affinis individual (RaTG13) as being most closely related phylogenetically to human SARS-CoV-2. However, other R. affinis harbor viruses that are relatively unrelated to human viruses, and viruses found in this species exhibit sequence differences of up to 20%, suggesting multiple transfers over time. There is little correspondence between viral and host (bat) species limits or phylogenetic relationships. An ACE2 phylogeny for Rhinolophus followed species limits, unlike the pattern in the viral phylogeny indicating that phylogenetic similarity of ACE2 is not a predictor of viral transmission at the bat species level. The Circulation Model could be modified to apply to any individual of any species of Rhinolophus; more individuals and species must be examined.

How social stressors at work influence marital behaviors at home: An interpersonal model of work-family spillover.

Drawing on conservation of resources and related theories, this study develops and tests an interpersonal model of work-family spillover. Our model specifies how social stressors at work (i.e., workplace incivility, abusive supervision, interpersonal conflict) result in the experience of a social-based form of work-family conflict, ultimately influencing marital behaviors at home, on a daily basis. The mediating role of burnout and the moderating role of trust were also examined. A 2-week experience-sampling study with daily employee surveys at work and at home and with spousal ratings for employees' marital behaviors in the evening provided general support for the proposed relationships. Within individuals, social stressors at work were associated with burnout symptoms, which mediated the effect of workplace social stressors on social-based work-family conflict. In line with congruence response models, we found that those who are more trusting were more negatively affected by social stressors at work. Finally, on evenings when employees experienced social-based work-family conflict, their spouses reported more withdrawn and angry behaviors and less supportive behaviors shown toward them. Overall, the present research explicates a specific form of work-family conflict, one in which social stressors in one domain result in negative behaviors in the other domain via burnout experiences. (PsycInfo Database Record (c) 2022 APA, all rights reserved).

Fostering landscape immunity to protect human health: A science‐based rationale for shifting conservation policy paradigms

AbstractAnthropogenic land use change is a major driver of zoonotic pathogen spillover from wildlife to humans. According to the land use‐induced spillover model, land use change alters environmental conditions that in turn alter the dynamics between zoonotic pathogens and their wildlife hosts. Thus, in response to the global spread of the SARS‐CoV‐2 virus (the agent of COVID‐19 disease), there have been renewed calls for landscape conservation as a disease preventive measure, including by the G7 Ministers responsible for Climate and the Environment. Landscape immunity, as a new construct, points to four paradigm shifts the world must favor to effectively mitigate pandemic risks. We provide a landscape immunity primer for policy makers and make the case for “world views” that placeHomo sapienswithin ecological systems, regard human health as an ecological service, prioritize investments in prevention, and apply ecological restoration to human health goals. Crisis is a conversation starter for reimagining and recommitting ourselves to what is most vital and generative. We urge world leaders to make the move to a nature‐positive world.

A Preferred-Habitat Model of Term Premia, Exchange Rates, and Monetary Policy Spillovers

A Preferred-Habitat Model of Term Premia, Exchange Rates, and Monetary Policy Spillovers

Revisiting conventional and green finance spillover in post-COVID world: Evidence from robust econometric models

In 2020, ESG funds that invest in companies that score higher on environmental, social, and governance measures witnessed an increase in investment compared to 2019. Understanding the causal relationship and spillover between these two types of indexes may help investors determine if clean energy indexes follow the same trend as conventional indexes or the reverse. Additionally, investors would benefit from understanding this causation in both the pre- and post-Covid-19 eras. We conceive this study to plug this gap and advance the knowledge in this critical area. We study the causality and spillover between NASDAQ clean energy indexes, and their corresponding alternatives namely, NASDAQ Composite Index and NASDAQ Global Select Market Composite using the daily data and from 1 st January 2011 to 29 th June 2021. We apply the Granger-Causality test and the spillover models approach by Diebold and Yilmaz (2012) and Baruník and Křehlík (2018) to determine any medium-run, or long-run causality, and spillover between the indexes under reference, respectively. Our results suggest us to observe that both sustainable and green indexes exhibit bi-directional causality where both sets of indexes impact each other in the long-run. Additionally, after the emergence of the COVID-19 pandemic, the connectivity between the two sets of indices rose significantly. Our findings also suggest that the investors will not lose on risk-adjusted returns if they chose to go green. With the investors' ability to shift towards green investment without losing on financial returns, it shall become even easier for businesses to steer their operations.

Structural and Evolutionary Insights Into the Binding of Host Receptors by the Rabies Virus Glycoprotein

Rabies represents a typical model for spillover of zoonotic viral diseases among multiple hosts. Understanding the success of rabies virus (RV) in switching hosts requires the analysis of viral evolution and host interactions. In this study, we have investigated the structural and sequence analysis of host receptors among different RV susceptible host species. Our extensive bioinformatic analysis revealed the absence of the integrin plexin domain in the integrin β1 (ITGB1) receptor of the black fruit bats in the current annotation of the genome. Interestingly, the nicotinic acetyl choline receptor (nAChR) interaction site with the glycoprotein (G) of RV was conserved among different species. To study the interaction dynamics between RV-G protein and the RV receptors, we constructed and analyzed structures of RV receptors and G proteins using homology modeling. The molecular docking of protein-protein interaction between RV-G protein and different host receptors highlighted the variability of interacting residues between RV receptors of different species. These in silico structural analysis and interaction mapping of viral protein and host receptors establish the foundation to understand complex entry mechanisms of RV entry, which may facilitate the understanding of receptor mediated spillover events in RV infections and guide the development of novel vaccines to contain the infection.

Ending the silo effect: A test of the relational domain spillover model.

Couple interventions are limited in their effectiveness for reducing marital distress and dissolution. One explanation for this may be the narrow focus on conflict management and a limited understanding of how other domains in marriage influence one another over time. We present the first test of the relational domain spillover model (RDSM) to understand the extent to which poor functioning in either positive or negative areas of the relationship spill over into other aspects of relationship functioning across time. Husbands and wives reported annually on the quality of five relationship domains (emotional intimacy, sex, support, power/control, and conflict) over the first seven years of marriage. Longitudinal dyadic multilevel modeling techniques were used to examine how domains change over time and how earlier declines in positive areas of couple functioning predict later problems in negative areas of couple functioning and vice versa. We found support for both directions of the RDSM model. Earlier declines in sexuality and support predicted later declines in conflict, and, for wives, earlier declines in couple sexuality were linked to later control issues. Earlier declines in conflict communication and control predicted later problems with emotional intimacy. For men, longitudinal associations between sexuality and conflict, and control, were bidirectional. These findings point to the need to move toward a multi-dimensional, dynamic conceptualization of relationship functioning across time and the importance of focusing on different relational domains as targets for couple interventions.

How does heterogeneous spillover of knowledge affect economic geography? ——An extended local spillover model

This study studies heterogeneous spillover of knowledge in a local spillover setting. We discuss how different levels of knowledge spillover affect economic geography. With the hypothesis of heterogeneous spillover of knowledge, the spillover effect still acts as a dispersion force. The structure of long-run equilibrium mostly depends on the extreme value of the knowledge spillover level among innovation branches. In the long-run equilibrium, innovation branches with a low level of knowledge spillover need more knowledge capital to avoid elimination. If the knowledge capital structures of the core area and periphery area are similar, the spillover effect will occupy the leading status. Periphery regions can break the catastrophic agglomeration through differential development.

Discrimination and internalizing symptoms in rural Latinx adolescents: An ecological model of etiology

IntroductionThere is a well-documented relationship between perceived discrimination and internalizing symptoms among Latinx adolescents. However, few studies have examined how this psychosocial stressor relates to multiple domains of functioning in rural Latinx adolescents simultaneously. This study tested a spillover model of internalizing symptom development, where the negative effects of perceived discrimination are experienced through peer and family relationships. MethodsRural Latinx adolescents (n = 639; Mage = 15.62, SDage = 1.09; 53% female) provided information on social, familial, and individual risk and resilience factors that affect adolescents’ mental health. A serial mediation model was conducted using structural equation modeling. Exploratory analyses examined whether these effects varied based on adolescents’ age, gender, and acculturation level. ResultsPerceived discrimination was significantly associated with peer victimization. In turn, higher peer victimization was significantly associated with lower familism, where higher familism was significantly associated with lower internalizing symptoms. The serial indirect effect (i.e., perceived discrimination → peer victimization → familism → internalizing symptoms) was statistically significant, indicating a pathway through which perceived discrimination affects peer and family domains of functioning. Age emerged as a significant moderator of the indirect effect specifically by moderating the discrimination → peer victimization path. ConclusionsThe results are consistent with a spillover model where perceived discrimination increases risk for peer victimization, which in turn erodes protective family-oriented values such as familism, especially among older adolescents. These findings highlight a potential etiological model by which experiences of discrimination may lead to the development of internalizing symptomatology.