Assessing the risk spillover effects between the Chinese carbon market and the US-China energy market
Pollution caused by environmental problems has aggravated the problem of resource scarcity, and the destruction of the ecological environment by mankind has shown serious consequences. Countries around the world are actively launching various carbon emission reduction and energy transformation polic...
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| Language: | English |
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Elsevier
2025-01-01
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| Series: | Heliyon |
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| Online Access: | http://www.sciencedirect.com/science/article/pii/S2405844024172179 |
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| author | Jiale Yan Cem Işık |
| author_facet | Jiale Yan Cem Işık |
| author_sort | Jiale Yan |
| collection | DOAJ |
| description | Pollution caused by environmental problems has aggravated the problem of resource scarcity, and the destruction of the ecological environment by mankind has shown serious consequences. Countries around the world are actively launching various carbon emission reduction and energy transformation policies to face this predicament. This paper investigates the risk spillover effects of China's carbon trading market with China's energy market and the U.S. energy market from the first quarter of 2018 to the first quarter of 2022. This paper uses the optimal ARMA-GARCH to fit the marginal distribution of each market and selects the optimal Copula function for the calculation of CoVaR to obtain more accurate risk measurement results. The results of this paper are as follows. First, there is a bidirectional risk spillover effect between each market in China and the U.S. At the same time, the risk spillover is time-varying, and the extreme return brings more risk. Second, the overall trend of risk spillover from China's carbon market to the U.S.-China energy market has not increased significantly, but the risk of China's energy market to China's carbon market has increased significantly over time. Third, the risk spillover situation in China's carbon trading market is not smooth. Compared to the energy market, it is also more prone to violent reactions in the face of risks. This paper provides policy recommendations to promote the coordinated development of energy and carbon markets. |
| format | Article |
| id | doaj-art-e20a4b2537ac4ca286332f261256ac2c |
| institution | Kabale University |
| issn | 2405-8440 |
| language | English |
| publishDate | 2025-01-01 |
| publisher | Elsevier |
| record_format | Article |
| series | Heliyon |
| spelling | doaj-art-e20a4b2537ac4ca286332f261256ac2c2025-01-17T04:50:26ZengElsevierHeliyon2405-84402025-01-01111e41186Assessing the risk spillover effects between the Chinese carbon market and the US-China energy marketJiale Yan0Cem Işık1College of Letters and Science, University of California Berkeley, 94720, USA; Corresponding author.Department of Economics, Faculty of Economics and Administrative Sciences Anadolu University, Eskisehir, Turkiye; Western Caspian University, Economic Research Center (WCERC), Baku, Azerbaijan; Baku Eurasian University, Economic Research Center (BAAU-ERC), Baku, Azerbaijan; Azerbaijan State University of Economics (UNEC), Clinic of Economics, Baku, AzerbaijanPollution caused by environmental problems has aggravated the problem of resource scarcity, and the destruction of the ecological environment by mankind has shown serious consequences. Countries around the world are actively launching various carbon emission reduction and energy transformation policies to face this predicament. This paper investigates the risk spillover effects of China's carbon trading market with China's energy market and the U.S. energy market from the first quarter of 2018 to the first quarter of 2022. This paper uses the optimal ARMA-GARCH to fit the marginal distribution of each market and selects the optimal Copula function for the calculation of CoVaR to obtain more accurate risk measurement results. The results of this paper are as follows. First, there is a bidirectional risk spillover effect between each market in China and the U.S. At the same time, the risk spillover is time-varying, and the extreme return brings more risk. Second, the overall trend of risk spillover from China's carbon market to the U.S.-China energy market has not increased significantly, but the risk of China's energy market to China's carbon market has increased significantly over time. Third, the risk spillover situation in China's carbon trading market is not smooth. Compared to the energy market, it is also more prone to violent reactions in the face of risks. This paper provides policy recommendations to promote the coordinated development of energy and carbon markets.http://www.sciencedirect.com/science/article/pii/S2405844024172179Risk spilloverChina carbon marketUS-China carbon market |
| spellingShingle | Jiale Yan Cem Işık Assessing the risk spillover effects between the Chinese carbon market and the US-China energy market Heliyon Risk spillover China carbon market US-China carbon market |
| title | Assessing the risk spillover effects between the Chinese carbon market and the US-China energy market |
| title_full | Assessing the risk spillover effects between the Chinese carbon market and the US-China energy market |
| title_fullStr | Assessing the risk spillover effects between the Chinese carbon market and the US-China energy market |
| title_full_unstemmed | Assessing the risk spillover effects between the Chinese carbon market and the US-China energy market |
| title_short | Assessing the risk spillover effects between the Chinese carbon market and the US-China energy market |
| title_sort | assessing the risk spillover effects between the chinese carbon market and the us china energy market |
| topic | Risk spillover China carbon market US-China carbon market |
| url | http://www.sciencedirect.com/science/article/pii/S2405844024172179 |
| work_keys_str_mv | AT jialeyan assessingtheriskspillovereffectsbetweenthechinesecarbonmarketandtheuschinaenergymarket AT cemisık assessingtheriskspillovereffectsbetweenthechinesecarbonmarketandtheuschinaenergymarket |