Time varying interdependency between COVID-19, tourism market, oil prices, and sustainable climate in United States: evidence from advance wavelet coherence approach

Figures & data

Table 1. Results of descriptive statistics and correlation.

	TOR	OIL	AQI	COVID
Mean	0.0035	0.0018	0.0135	0.0058
Maximum	0.0146	0.0170	0.1089	0.0197
Minimum	−0.0084	−0.0364	−0.0556	−0.0811
Std. Dev.	1.0284	0.843	0.338	0.983
Skewness	0.184	0.722	0.842	0.826
Kurtosis	3.089	5.884	3.118	4.098
Jarque-Bera	24.436	61.562	16.214	26.008
Probability	0.000	0.000	0.000	0.000
Correlation Matrix
TOR	1
OIL	0.459*	1
	(0.000)
AQI	0.843*	−0.583*	1
	(0.000)	(0.000)
COVID	0.894*	−0.879*	−0.803*	1
	(0.000)	(0.000)	(0.000)

* Denotes the rejection of the null hypothesis at the 1% significance level.

Source: Authors estimations.

Table 2. Results of unit root test.

Variables	ADF (Level)	ADF (Δ)	ZA (Level)	Break Date	ZA (Δ)	Break Date
TOR	−0.225	−5.678***	−0.368	04/04/2020	−7.088***	05/03/2021
OIL	−1.223	−6.384***	−1.669	18/03/2020	−6.364***	23/06/2020
AQI	0.988	−6.250***	−2.081	24/05/2020	−7.284***	07/04/2020
COVID	−0.546	−5.208***	−2.558	29/05/2020	−9.462***	28/06/2020

Note: The values in the table specify statistical values of the ADF and ZA test. The asterisk ***, ** and * represent level of significance at 1%, 5% and 10% respectively.

Source: Authors estimations.

Figure 1. Results of wavelet correlation between TOR, OIL, AQI, COVID.

Wavelet Scale represent 1,2,4,8,16,32 for short, very short, medium, long, and very long run.

Source: Authors estimations and drawing.

Figure 2. Results of continuous wavelet transform.

Note: X-axis represents the time whereas, Y-axis shows the period (in days). The thick black contour represents the 5% significance level against the red noise.

Source: Authors estimations and drawing.

Figure 3. Results of wavelet coherence transform.

Note: X-axis represents the time whereas, Y-axis shows the period (in days). The thick black contour represents the 5% significance level against the red noise.

Source: Authors estimations and drawing.

Figure 4. Results of partial and multiple wavelet coherence.

Note: X-axis represents the time whereas, Y-axis shows the period (in days). The thick black contour represents the 5% significance level against the red noise.

Source: Authors estimations and drawing.

Figure 4. Continued.

Figure 4. Continued.

Figure 4. Continued.