The dynamic spillover effects of climate policy uncertainty and coal price on carbon price: Evidence from China

Wan-Lin Yan and Adrian (Wai-Kong) Cheung ()

Finance Research Letters, 2023, vol. 53, issue C

Abstract: This paper applies the time-varying parameters vector autoregression (TVP-VAR) model to investigate the dynamic effects of climate policy uncertainty and coal price on carbon price in China. Based on news from China's mainstream newspapers and websites, a tailor-made climate policy uncertainty index is constructed. The VAR-BEKK-GARCH model is utilized as robustness check. The results indicate that both the climate policy uncertainty and coal price have significant time-varying effects on the carbon price. Additional dynamic connectedness analysis reveals that coal price is the main shock transmitter while climate policy uncertainty and carbon price are mostly net shock receivers.

Keywords: Dynamic spillover effect; The time-varying parameters vector autoregression model; Carbon price; Climate policy uncertainty; Coal price (search for similar items in EconPapers)
JEL-codes: C32 G15 G18 Q54 Q58 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (19)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:53:y:2023:i:c:s1544612322005773

DOI: 10.1016/j.frl.2022.103400

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