社会联系
波动性(金融)
经济
衡平法
金融市场
文件夹
金融经济学
溢出效应
债券
财务
货币经济学
宏观经济学
心理学
政治学
法学
心理治疗师
作者
Xueping Tan,Kavita Sirichand,Andrew Vivian,Xinyu Wang
标识
DOI:10.1016/j.eneco.2020.104870
摘要
Carbon allowances are a new class of financial instrument which aim to assist in limiting the extent and impact of global warming and climate change. The feedback mechanism in the “Carbon-Energy-Finance” system makes the information connectedness dynamics more complex since we add equity, bond and non-energy commodity assets into the system. Using modified error variance decomposition and network diagrams, we quantify and systematically analyze how the European carbon market connects with information from a wide range of other markets. Our results indicate: (i) the nature of information spillover changes over time, with system-wide return connectedness being higher and more variable than the volatility interdependence; (ii) both the oil and carbon markets closely connect with equity and non-energy commodity markets rather than bond markets; (iii) we identify three structural breaks in carbon volatility and their implication for carbon-finance linkages; (iv) financial risk-type macroeconomic factors make greater contributions to system-wide connectedness than commodity factors. These findings have economic implications for investors, portfolio managers and policymakers.
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