Information linkage, dynamic spillovers in prices and volatility between the carbon and energy markets
By Qiang Ji, Dayong Zhang, Jiang-bo Geng. Journal of Cleaner Production, 2018
348 citations recorded by the source corpus.
Abstract The European Union Emissions Trading System (EU ETS) has strengthened the information flow and connection between carbon market and energy markets, which makes the carbon-energy system more complicated. This paper investigates information linkages and dynamic spillover effects between the carbon and energy markets. We adopt a systemic time-series approach to study connectedness in both returns and volatility in the carbon-energy system. Moreover, a rolling-windows method is used to show the dynamic features. Empirical results show that Brent oil prices play an important role in affecting carbon price changes and risks. Feedback exists from the carbon market to other energy markets, and electricity prices are shown to be the biggest information receiver in the system. It is also shown that the level of connectedness in the volatility system is substantially higher than that in the returns system. Our results can provide useful implications for policymakers to design market mechanisms and market investors to manage their portfolios.
Subfields: Economics and Econometrics, Renewable Energy, Sustainability and the Environment
View Paper: https://www.semanticscholar.org/paper/6c4e2457fe5bb044244e8c40b5ef9eeda9c0e2f3
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Citations in the corpus
- The marginal impacts of energy prices on carbon price variations: Evidence from a quantile-on-quantile approach (2021, positive): “Ji et al. (2018) investigate dynamic linkages and spillover effects, respectively in price returns and volatility between energy and carbon markets in Europe.”
- The Link between Economic Complexity and Carbon Emissions in the European Union Countries: A Model Based on the Environmental Kuznets Curve (EKC) Approach (2019, positive): “Understanding the price linkage and spillover patterns allow for policy makers to design market mechanisms [37].”