Journal
JOURNAL OF CLEANER PRODUCTION
Volume 198, Issue -, Pages 972-978Publisher
ELSEVIER SCI LTD
DOI: 10.1016/j.jclepro.2018.07.126
Keywords
Carbon price; Connectedness; Dynamic spillover; Energy prices; Information links
Categories
Funding
- National Natural Science Foundation of China [71573214, 71774152, 91546109, 71503274]
- Youth Innovation Promotion Association of Chinese Academy of Sciences [Y7X0231505]
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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. (C) 2018 Elsevier Ltd. All rights reserved.
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