The dynamic relationships between carbon prices and policy uncertainties

Liu Xiaoqin; Wojewodzki Michal; Cai YifeiSharma Satish

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The dynamic relationships between carbon prices and policy uncertainties

机译：The dynamic relationships between carbon prices and policy uncertainties

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Using the generalized impulse response analysis, this study examines the nexus between the prices of crude oil, natural gas, and carbon emissions allowances in the EU carbon emissions trading system (CETS) and climate policy uncertainty (CPU) and global economic policy uncertainty (EPU). Additionally, we employ bootstrap rolling-window Granger causality tests to investigate the relationship between carbon price in China's national CETS and the US-specific EPU (USEPU). The results show that rising carbon and gas prices positively impact CPU, while a positive shift in oil price increases (decreases) the prices of carbon and gas (EPU). Furthermore, an increase in the CPU (EPU) positively impacts the gas price (increases the CPU but decreases the prices of carbon and oil). Finally, we find evidence of time-varied bi-directional causality between China's CETS and the USEPU. The above findings offer important implications for portfolio managers and policymakers.

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来源
《Technological forecasting and social change》 |2023年第3期|1.1-1.11|共11页
作者
Liu Xiaoqin; Wojewodzki Michal; Cai YifeiSharma Satish;
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作者单位

Teesside Univ;

Hang Seng Univ Hong Kong;

Leeds Trinity Univ;

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收录信息美国《科学引文索引》(SCI);美国《工程索引》(EI);
原文格式 PDF
正文语种英语
中图分类
关键词
Emissions trading system (ETS); Climate policy uncertainty; Economic policy uncertainty; COP 26 conference; Generalized impulse response analysis; Granger causality tests;

The dynamic relationships between carbon prices and policy uncertainties

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