Re-examining the nexus between Chinese carbon markets with energy and non-energy commodity markets in a novel risk spillover network approach

IF 4.8 2区经济学 Q1 BUSINESS, FINANCE

Pacific-Basin Finance Journal Pub Date : 2025-05-19 DOI:10.1016/j.pacfin.2025.102820

A. Bouteska , Mashuk Rahman , M. Kabir Hassan , Benito A. Sanchez

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引用次数: 0

Abstract

This research aims to explore the impact of five green energy subsectors (specifically, the solar power generation concept index, wind power generation concept index, Geothermal energy concept index, nuclear power concept index, and biomass and biofuel concept index) as well as five commodity indices (NHECI Nanhua energy and chemical index, NHAI Nanhua agricultural index, NHPMI Nanhua precious metal index, NHMI Nanhua metal index, and NHII Nanhua industry index) on restricted carbon emissions within five cities and provinces: Beijing, Guangdong, Hubei, Shanghai, and Shenzhen. The study analyzes data reflecting the fluctuation in CO2 emissions during three significant periods: the Covid-19 pandemic, the Russia-Ukraine conflict, and the China recession, spanning from January 1, 2022, to September 30, 2023. Utilizing the Vector Autoregressive (VAR) model and an innovative quantile connectedness framework, the research uncovers a substantial degree of cross-market risk transmission, exceeding 80 %, particularly during and after the Covid-19 pandemic. This implies that the shocks from the Covid-19 pandemic and the Russia-Ukraine conflict have heightened the interconnections between carbon emissions and both clean energy and non-clean commodity markets.

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基于风险溢出网络的中国碳市场与能源和非能源商品市场关系研究

本研究旨在探讨五个绿色能源子行业（具体为太阳能发电概念指数、风能发电概念指数、地热能概念指数、核电概念指数、生物质能和生物燃料概念指数）以及五个商品指数（NHECI南华能源化工指数、NHAI南华农业指数、NHPMI南华贵金属指数、NHMI南华金属指数、NHMI南华金属指数、nhei南华能源指数、nhei南华能源指数、nhei南华能源指数、nhei南华能源指数、nhei南华能源指数、nhei南华能源指数、nhei南华能源指数、nhei南华能源指数、nhei南华能源指数）的影响。北京、广东、湖北、上海和深圳这五个省市的碳排放限制。利用向量自回归（VAR）模型和创新的分位数连通性框架，该研究揭示了相当程度的跨市场风险传播，超过80%，特别是在Covid-19大流行期间和之后。这意味着，2019冠状病毒病大流行和俄罗斯-乌克兰冲突的冲击加剧了碳排放与清洁能源和非清洁商品市场之间的相互联系。

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来源期刊

Pacific-Basin Finance Journal BUSINESS, FINANCE-

CiteScore

6.80

自引率

6.50%

发文量

157

期刊介绍： The Pacific-Basin Finance Journal is aimed at providing a specialized forum for the publication of academic research on capital markets of the Asia-Pacific countries. Primary emphasis will be placed on the highest quality empirical and theoretical research in the following areas: • Market Micro-structure; • Investment and Portfolio Management; • Theories of Market Equilibrium; • Valuation of Financial and Real Assets; • Behavior of Asset Prices in Financial Sectors; • Normative Theory of Financial Management; • Capital Markets of Development; • Market Mechanisms.