Risk effects among China′s carbon market, energy market, and high emission industries: Based on TVP-VAR-DY model
Journal Title: Energy Environmental Protection - Year 2024, Vol 38, Issue 3
Abstract
Under the consensus to address national climate change with low-carbon development, it is imperative to include other high-emission sectors in the national carbon market after the electricity market. This study investigates the risk spillover effects among the national carbon market, the power market, and the markets of high-emitting sectors from 2021 to 2023. The study optimizes the measurement of the dynamic spillover effect through the TVP-VAR-DY model. It is found that there are time-varying bidirectional asymmetric spillovers among the national carbon market, the energy market, and the markets of high-emission industries. The volatility spillovers between the markets are significantly enhanced, especially in the case of extreme risk events. Markets in high-emission sectors such as electricity are mainly affected by fluctuations in the carbon market, while risks in the new energy sector mainly affect the crude oil futures market. Major socio-economic events can make energy markets dominant in risk transmission in the short run, but over time, high-emission industries become risk exporters. Finally, we make recommendations for the construction of China′s carbon market, risk prevention in the energy market, and optimization of the energy structure of high-emission industries.
Authors and Affiliations
REN Zhengyu|The Institute for Sustainable Development, Macau University of Science and Technology, China, Hsing Hung Chen*|School of Business, Macau University of Science and Technology, China, TANG Jian*|The Institute for Sustainable Development, Macau University of Science and Technology, China, Baima Lake Laboratory, China, ZHANG Tianyan|Baima Lake Laboratory, China, YU Yang|Baima Lake Laboratory, China
Keywords
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- EP ID EP737936
- DOI 10.20078/j.eep.20240404
- Views 5
- Downloads 0
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