Do weather conditions drive China's carbon-coal-electricity markets systemic risk? A multi-timescale analysis

Yi Zhao, Xingyu Dai, Dongna Zhang, Qunwei Wang and Yaru Cao

Finance Research Letters, 2023, vol. 51, issue C

Abstract: This paper uses the wavelet coherency method to reveal the timescale-varying driving mechanism of 12 different types of weather conditions data on risk measures of China's Carbon-Coal-Electricity (CCE) system. First, we find that temperature may be a major factor influencing the co-movement pattern of China's CCE system on a long-term timescale, but cannot affect information spillover pattern of the CCE system. Second, snowfall, cloud, and wind levels could influence the long-term variation of the CCE system's risk measurement. Third, none of the selected weather condition indicators could influence the short- and medium-run CCE systemic risk.

Keywords: Carbon-coal-electricity markets system; Weather conditions; Multi-timescale analysis; Wavelet coherency; Dynamic equicorrelatioin (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322006092

DOI: 10.1016/j.frl.2022.103432

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