... returns to changes in climate-related variables. We then combine the threshold model of Seo and Shin (2016) with the local projection framework by estimating the benchmark model within each regime, to capture endogenous regime shifts in climate risk exposure. Finally, we conduct robustness checks...

.... Design/methodology/approach Initially, the future WTI oil price series was analyzed using the self-exciting threshold autoregressive (SETAR) and logistic smooth transition autoregressive (LSTAR) non-linear models. Subsequently, the threshold autoregressive error-correction model (TAR-ECM) and Markov...