 Volatility spillover effect and dynamic correlation between regional emissions allowances and fossil energy markets: New evidence from China’s emissions trading scheme pilotsKai Chang, Zhifang Ye and Weihong Wang Energy, 2019, vol. 185, issue C, 1314-1324 Abstract: This paper investigates the volatility spillover effects and dynamic correlations between China’s emissions allowances and fossil energy markets by employing the dynamic conditional correlation (DCC) generalized autoregressive conditional heteroscedasticity (GARCH) model. Thermal coal futures, South Sea crude oil and liquefied natural gas markets confirm short-term and long-term persistence on the Beijing, Shanghai, Guangdong and Shenzhen emissions allowances pilots, while those fossil energy markets demonstrate long-term persistence on Hubei’s emissions allowances pilot. The dynamic correlations between fossil energy and regional emissions allowance markets exhibit slight time-varying trends, and their dynamic correlations are at lower levels in the period considered. The prohibition of cross-region emissions allowance flow, inefficient dynamic linkage and poor price pass-through between the two markets may result in lower volatility spillover effects and dynamic correlations. Keywords: Emissions allowance price; Fossil energy price; Volatility spillover; Dynamic correlation; DCC-GARCH (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:energy:v:185:y:2019:i:c:p:1314-1324 DOI: 10.1016/j.energy.2019.07.132 Access Statistics for this article Energy is currently edited by Henrik Lund and Mark J. Kaiser More articles in Energy from Elsevier |
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