Impact of carbon market prices on oil market fear across quantiles

This paper uses quantile regression to investigate how carbon market prices affect oil market fear. Our results show a significant and strong negative effect of changes in carbon market prices on changes in oil market fear at high quantiles. Notably, this negative effect is driven by the decrease rather than the increase in carbon market prices. We also observe that the COVID-19 pandemic enhances the negative impact of the decreased carbon market prices at high quantiles.