EconPapers    
Economics at your fingertips  
 

A multiscale analysis for carbon price drivers

Bangzhu Zhu, Shunxin Ye, Dong Han, Ping Wang, Kaijian He, Yi-Ming Wei () and Rui Xie

Energy Economics, 2019, vol. 78, issue C, 202-216

Abstract: This study proposes a multiscale analysis model to explore and identify the carbon price drivers at different timescales. By introducing the latest multivariate empirical mode decomposition, carbon price and its potential drivers are decomposed into several groups of simple modes with specific economic meanings. The cointegration techniques, error correction model and Newey–West estimator are combined to capture the carbon price drivers at similar timescales. Illustrated by the samples of the European Union Emissions Trading System from 2009 to 2016, a few interesting results can be found that at the original data level, among the three most important drivers of carbon price, electricity price and stock index show positive impacts, while coal price shows a negative impact. At different timescales, the effects of electricity and stock index appear comparatively earlier, which drive carbon price from the short timescales and continue to strengthen. However, the impacts of coal, oil and gas prices are lagging behind, which respectively drive the carbon price at the medium and long timescales.

Keywords: Carbon price drivers; Multiscale analysis; Multivariate empirical mode decomposition; Cointegration; Error correction model (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S014098831830447X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:78:y:2019:i:c:p:202-216

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
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2019-10-15
Handle: RePEc:eee:eneeco:v:78:y:2019:i:c:p:202-216