Carbon Emission Price, Commodity Futures, Equity Price and Global Economic Policy Uncertainty Dependence Structure in BRICS: Implications for Portfolio Diversification

This study examines the short- and medium run dependence structures across emission, commodity futures, equity prices and global economic uncertainty in BRICS countries. Previous studies have focused on the co-movement between commodity futures and equity price with a few attempts to capture the economic uncertainty in the relationship but failed to look at the wider context of both emission price and global economic policy uncertainty. In this study, we employ the spillover index developed by Diebold and Yilmaz (2012) to identify the dependence structure among ETS, commodity futures, equity price and global economic policy uncertainty and a Variational Mode Decomposition (VMD) copula function.