Analysis of price dynamic spillovers between carbon and energy markets
DOI: 10.23977/acccm.2024.060520 | Downloads: 10 | Views: 143
Author(s)
Xuchu Xu 1, Yin Zhang 1
Affiliation(s)
1 Anhui University of Finance and Economics, Bengbu, Anhui, China
Corresponding Author
Xuchu XuABSTRACT
It is important to comprehensively study the characteristics of price dynamic spillovers between China's carbon market and energy market, and fully understand the mechanism between energy prices and carbon prices. The spillover index model is used for the period from September 1, 2015 to September 2022. The spillover effect between the price yield of China's carbon market and the energy market is measured on the 1st. The results show that the price-yield spillover level of China's carbon market is low in the spillover system with the energy market, and the impact of carbon price changes on traditional energy markets such as crude oil and coal is strong. At the same time, the spillover direction is asymmetrical, and there are significant differences and time-varying characteristics of the spillover effect between different energy markets and carbon markets, and the special periods and special events of the economy and society will also have a great impact on the degree of the spillover effect.
KEYWORDS
China carbon market; energy market; TVP-VAR-DY model; yield spilloverCITE THIS PAPER
Xuchu Xu, Yin Zhang, Analysis of price dynamic spillovers between carbon and energy markets. Accounting and Corporate Management (2024) Vol. 6: 138-145. DOI: http://dx.doi.org/10.23977/acccm.2024.060520.
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