Structural Change Features and Influencing Factors of China’s Carbon Price

Jian Liu, Xin Hu and Lizhao Yan

Emerging Markets Finance and Trade, 2023, vol. 59, issue 14, 3952-3967

Abstract: The existence of structural change features can lead to the failure of traditional econometric methods. This research uses the Bai-Perron test to diagnose the structural change point of the price series in China’s pilot carbon market. It uses an impulse response function to analyze the interaction between carbon prices and energy prices, stock price indices, power industry index, and similar asset prices. The results show structural change points in all five carbon markets during the operation period, and the timing of these structural change points relates to an economic situation and compliance period. In addition, the impact mechanisms of the stock price index, similar asset price, and power industry index on the price of China’s pilot carbon market change significantly before and after the structural change points, but the impact of energy price does not change except for the Hubei carbon market.

Date: 2023
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/1540496X.2022.2156280 (text/html)
Access to full text is restricted to subscribers.

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:mes:emfitr:v:59:y:2023:i:14:p:3952-3967

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/MREE20

DOI: 10.1080/1540496X.2022.2156280

Access Statistics for this article

More articles in Emerging Markets Finance and Trade from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().