Journal
CLEANER ENERGY FOR CLEANER CITIES
Volume 152, Issue -, Pages 823-828Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/j.egypro.2018.09.196
Keywords
Carbon market; Carbon emission trading; GARCH model; Price fluctuation
Categories
Funding
- National Natural Science Foundation of China [71501056]
- Anhui Science and Technology Major Project [17030901024]
- Hong Kong Scholars Program [2017-167]
- Research Grants Council of the Hong Kong Special Administrative Region, China [CityU 11271716, CityU 21209715]
- China Postdoctoral Science Foundation [2017M612072]
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Carbon emission trading, as an effective economic tool to deal with climate change issues, has received widespread attention in recent years. As a major carbon emitter, China plays an important role in global climate change. This paper uses the Vector Error Correction (VEC) model to explore the dynamic relationship between energy price, macroeconomic indicators, air quality, and carbon emission trading price. The results show that there is a long-term equilibrium relationship between these selected indicators and carbon emission trading price. In addition, this paper also uses the Generalized Auto-Regressive Conditional Heteroskedasticity (GARCH) model to analyze the carbon price fluctuation characteristics. It is found that there is a positive leverage effect on the price fluctuation of the selected carbon emission return series. External bad news will have a greater impact on carbon price fluctuation than good news. Copyright (C) 2018 Elsevier Ltd. All rights reserved.
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