TITLE:
The Time-Varying Spillover Effects between China’s Carbon Markets and Energy Market: Evidence Using the TVP-DY Index Model
AUTHORS:
Xiao Sun, Huihui Li, Lantao Xu
KEYWORDS:
Carbon Market, New Energy Market, TVP-VAR Model, TVP-DY Spillover Index
JOURNAL NAME:
American Journal of Industrial and Business Management,
Vol.12 No.6,
June
24,
2022
ABSTRACT: This paper proposes an integrated TVP-VAR model to investigate the
volatility spillover mechanisms among different financial markets as well as
their respective roles in the global volatility transmission system, including
China’s carbon market, crude oil, new energy, new energy automobile, coal and
natural gas markets, which is named energy market. Utilizing the time-varying
volatility spillover indices (TVP-DY), we find that there are obvious dynamic
spillover effects between China’s carbon and energy markets, and the
sensitivity of different regional carbon markets to different energy markets
varies. In addition, China’s carbon market is mainly affected by price
fluctuations in the traditional fossil energy market, but the new energy market
can play an effective role in hedging risks. Moreover, China’s carbon market
and energy market have a fragile Cycle Spillover Network style, thus it is
necessary to demonstrate a complex risk spillover mechanism between them.