期刊
ENERGY
卷 185, 期 -, 页码 1314-1324出版社
PERGAMON-ELSEVIER SCIENCE LTD
DOI: 10.1016/j.energy.2019.07.132
关键词
Emissions allowance price; Fossil energy price; Volatility spillover; Dynamic correlation; DCC-GARCH
资金
- National Natural Science Foundation of China [71673236]
- Philosophy, Society and Science Planning of Zhejiang Province [18NDJC139YB]
- NewType Key Think Tank of Zhejiang Province's Research Institute of Regulation and Public Policy
This paper investigates the volatility spillover effects and dynamic correlations between China's emissions allowances and fossil energy markets by employing the dynamic conditional correlation (DCC) generalized autoregressive conditional heteroscedasticity (GARCH) model. Thermal coal futures, South Sea crude oil and liquefied natural gas markets confirm short-term and long-term persistence on the Beijing, Shanghai, Guangdong and Shenzhen emissions allowances pilots, while those fossil energy markets demonstrate long-term persistence on Hubei's emissions allowances pilot. The dynamic correlations between fossil energy and regional emissions allowance markets exhibit slight time-varying trends, and their dynamic correlations are at lower levels in the period considered. The prohibition of cross-region emissions allowance flow, inefficient dynamic linkage and poor price pass-through between the two markets may result in lower volatility spillover effects and dynamic correlations. (C) 2019 Elsevier Ltd. All rights reserved.
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