Studying the risk spillover effects of the carbon market and high-carbon-emission industries under economic uncertainty
Jiatong Han,
Qing Sun,
Yanbo Jiang
Abstract:In this paper, we select the China Carbon Market Price Index, which reflects the overall price changes in China’s carbon market (CCM), and employs the TVP-VAR-BK model to examine the risk spillover effects between the carbon market and high-carbon-emission industries in China from a frequency domain viewpoint. Employing the nonparametric quantile Granger causality test, it delves further into the effects of economic policy uncertainty (EPU) in China on the degree of risk spillovers between the carbon market an… Show more
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