AUTHOR=Qiao Sen , Zhao Chen Xi , Zhang Kai Quan , Ren Zheng Yu TITLE=Research on Time-Varying Two-Way Spillover Effects Between Carbon and Energy Markets: Empirical Evidence From China JOURNAL=Frontiers in Energy Research VOLUME=9 YEAR=2021 URL=https://www.frontiersin.org/journals/energy-research/articles/10.3389/fenrg.2021.789871 DOI=10.3389/fenrg.2021.789871 ISSN=2296-598X ABSTRACT=

With the improvement of China’s carbon emission trading system, the spillover effect between carbon and energy markets is becoming more and more prominent. This paper selects four representative pilot carbon markets, including Beijing (BEA), Guangdong (GDEA), Hubei (HBEA) and Shanghai (SHEA). And three representative energy markets, including Crude Oil Futures (SC), power index (L11655) and China Securities new energy index (NEI). Combining the rolling window technology with DY spillover index, set a 50-weeks rolling window to measure the spillover index, and deeply analyze the time-varying two-way spillover effect between China’s carbon and energy markets. The results show that the spillover effect between China’s carbon and energy markets has significant time variability and two-way asymmetry. The time-varying spillover effect of different carbon pilot markets on the energy market has regional heterogeneity. The volatility spillover effect of Beijing and Shanghai carbon markets mainly comes from the crude oil futures market, Guangdong carbon market mainly comes from the new energy market, and Hubei carbon market mainly comes from crude oil and electricity market. The above research results contribute to the prevention of potential risk spillover between carbon and energy markets, which can promote the establishment of China’s unified carbon market and the prevention of systemic financial risks in energy market.