A study of price linkage in China's carbon-coal market based on the perspective of structural change

Jiaohui Yu and Jinliang Luo

Finance Research Letters, 2024, vol. 59, issue C

Abstract: This study investigates the price linkage between the Chinese carbon and coal markets. we constructed a VAR model in stages based on event cut-off points and combine Granger causality test and impulse response to study the price linkage between the two markets. The results show that both markets undergo significant structural mutations, and the proximity of the mutation points to each other has a strong intrinsic correlation, and the structural mutations caused by the occurrence of major events will alter market covariance and price linkages.

Keywords: Carbon trading market; Coal market; Sudden structural change (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:59:y:2024:i:c:s1544612323010784

DOI: 10.1016/j.frl.2023.104706

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