中国碳市场与相关市场溢出效应的多尺度分析:地缘政治风险的影响

IF 13.6 2区 经济学 Q1 ECONOMICS
Jing Liu , Xin Zhao , Lili Ding
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引用次数: 0

摘要

本文在考虑地缘政治因素的情况下,考察了中国碳市场与相关市场之间的溢出效应。运用溢出指数法、MEMD分解和tpv - var模型,对多尺度的溢出效应进行量化。研究发现:(1)中国碳市场、能源市场和金融市场存在显著的溢出效应,其中石油市场是主要的风险溢出源,外汇市场在风险传导中起着重要的中介作用;(2)溢出效应在时间尺度上存在异质性,中长期溢出效应最为突出,表明长期基本面因素主要驱动风险溢出;(3)溢出效应呈现时变特征,经济危机、地缘政治事件、政策变化等重大事件引发的溢出效应加剧;④地缘政治风险对“碳-能源-金融”体系的溢出效应有显著影响,但影响程度和方向因地缘政治事件而异。这些研究结果为中国和其他发展中国家的决策者和投资者在碳市场的运作和投资方面提供了有价值的指导。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
A multi-scale analysis of spillover effects between the Chinese carbon market and related markets: The impact of the geopolitical risk
This study examines the spillover effects between China's carbon market and related markets, considering geopolitical factors. By using the spillover index method, MEMD decomposition, and the TVP-VAR model, the paper quantifies the spillovers at multiple scales. The findings indicate that: (1) significant spillover effects exist among China's carbon, energy, and financial markets, with the oil market being the major risk spillover source and the foreign exchange market playing an important intermediary role in risk transmission; (2) spillover effects are heterogeneous across time scales, with medium to long-term spillovers being the most prominent, suggesting long-term fundamental factors primarily drive risk spillovers; (3) spillover effects exhibit time-varying characteristics, with intensified spillovers typically triggered by economic crises, geopolitical events, policy changes, and other major incidents; (4) geopolitical risks have a significant impact on spillovers within the “carbon-energy-finance” system, though the impact's magnitude and direction vary depending on the specific geopolitical event. These results provide valuable guidance for policymakers and investors in China and other developing countries on the operation and investment of carbon markets.
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来源期刊
Energy Economics
Energy Economics ECONOMICS-
CiteScore
18.60
自引率
12.50%
发文量
524
期刊介绍: Energy Economics is a field journal that focuses on energy economics and energy finance. It covers various themes including the exploitation, conversion, and use of energy, markets for energy commodities and derivatives, regulation and taxation, forecasting, environment and climate, international trade, development, and monetary policy. The journal welcomes contributions that utilize diverse methods such as experiments, surveys, econometrics, decomposition, simulation models, equilibrium models, optimization models, and analytical models. It publishes a combination of papers employing different methods to explore a wide range of topics. The journal's replication policy encourages the submission of replication studies, wherein researchers reproduce and extend the key results of original studies while explaining any differences. Energy Economics is indexed and abstracted in several databases including Environmental Abstracts, Fuel and Energy Abstracts, Social Sciences Citation Index, GEOBASE, Social & Behavioral Sciences, Journal of Economic Literature, INSPEC, and more.
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