Risk effects among China's carbon market,energy market,and high emission industries:Based on TVP-VAR-DY model
REN Zhengyu
Hsing Hung Chen
TANG Jian
ZHANG Tianyan
YU Yang
Abstract：Under the consensus to address national climate change with low-carbon development,it is imperative to include other high-emission sectors in the national carbon market after the electricity mar-ket.This study investigates the risk spillover effects among the national carbon market,the power mar-ket,and the markets of high-emitting sectors from 2021 to 2023.The study optimizes the measurement of the dynamic spillover effect through the TVP-VAR-DY model.It is found that there are time-var-ying bidirectional asymmetric spillovers among the national carbon market,the energy market,and the markets of high-emission industries.The volatility spillovers between the markets are significantly en-hanced,especially in the case of extreme risk events.Markets in high-emission sectors such as elec-tricity are mainly affected by fluctuations in the carbon market,while risks in the new energy sector mainly affect the crude oil futures market.Major socio-economic events can make energy markets domi-nant in risk transmission in the short run,but over time,high-emission industries become risk export-ers.Finally,we make recommendations for the construction of China's carbon market,risk prevention in the energy market,and optimization of the energy structure of high-emission industries.
Keywords：Carbon marketHigh-emission sectorEnergy marketTVP-VAR-DY modelRisk spillover effect
Publication Date：2024-06-28
Online Publishing Date：2025-08-15(First online date of this platform, not the publication date of the document)
Pages：11( 162-172 )