A comparison of the operation of China's carbon trading market and energy market and their spillover effects

溢出效应 碳市场 中国 能源市场 碳纤维 业务 能量(信号处理) 产业组织 自然资源经济学 经济 环境经济学 微观经济学 可再生能源 工程类 温室气体 材料科学 数学 地理 生态学 考古 复合数 复合材料 生物 电气工程 统计
作者
Xiang Song,Dingyu Wang,Xuantao Zhang,Yuan He,Yong Wang
出处
期刊:Renewable & Sustainable Energy Reviews [Elsevier BV]
卷期号:168: 112864-112864 被引量:43
标识
DOI:10.1016/j.rser.2022.112864
摘要

This study measures the liquidity and volatility of the operation of the carbon trading and energy markets using liquidity ratio indicators and log return indicators. It adopts China's carbon trading and energy markets as the research objects, and evaluates the mean spillover effects and volatility spillover effects between the two using the vector autoregression (VAR) model and the BEKK-MGARCH model. The findings indicate that: (1) The liquidity of China's carbon trading market is better than that of the energy market. The average liquidity ratio of the Hubei and Shenzhen carbon trading markets is much lower than that of the coal market, 43016.131. It may be attributed to the fact that China's carbon trading market is currently small and easy to regulate. (2) The volatility of both the Chinese carbon trading market and energy market is small, and the absolute values of the mean log return rate are close to 0. It could be because China's carbon trading market is mainly distributed through free quota allocation, while the energy market has been mature and stable for many years. (3) There is a spillover effect between the carbon trading and energy markets in some parts of China, but the direction and degree of spillover effect vary, which may be due to differences in the economic development level, energy consumption structure, and environmental policies of each pilot carbon trading region. (4) The spillover effect between the two markets is stronger, perhaps due to China's current model of using coal as the main fuel. • Use the VAR and BEKK-MGARCH models to evaluate the spillover effect. • The liquidity of China's carbon trading market is better than the energy market. • The volatility of both the Chinese carbon trading and energy markets is small. • Spillover effects exist between China's carbon trading and energy markets.
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