 Interaction among China carbon emission trading markets: Nonlinear Granger causality and time-varying effectLili Zhao, Fenghua Wen and Xiong Wang Energy Economics, 2020, vol. 91, issue C Abstract: China makes great efforts to reduce carbon emissions and mitigate global greenhouse gas. In order to identify the interaction among China CET markets, this paper comprehensively investigates nonlinear Granger causality and time-varying effect in markets by using the Hiemstra and Jones (HJ) test, Diks and Panchenko (DP) test and time-varying parameter structure vector autoregressive (TVP-SVAR) model. The empirical analysis has demonstrated China major CET markets significantly bidirectional nonlinear Granger cause each other. As to time-varying effect, we have obtained convincing findings that time-varying impulse responses are among China major CET markets in the short term. Specifically, Guangdong, Hubei and Shenzhen CET markets are time-varying co-movement, negatively or positively related to each other over time, implying there are deep bases for China national CET market construction. Furthermore, the specific time point impulse effects support our discoveries in time-varying impulse responses. Keywords: China CET market; Nonlinear Granger causality; Time-varying effect (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:91:y:2020:i:c:s0140988320302413 DOI: 10.1016/j.eneco.2020.104901 Access Statistics for this article Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant More articles in Energy Economics from Elsevier |
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