{"title":"Research on the risk spillover effect of carbon emission trading market and various industry markets in China and the European Union","authors":"Hua Cui, Yixin Fan, Juchao Li","doi":"10.1002/ese3.1907","DOIUrl":null,"url":null,"abstract":"<p>Widely concerns over the carbon emission problems have been aroused. Prior studies have documented the correlation between the carbon emission market and industries separately. This study compared the tail risks and risk spillover effect of the carbon emission and 11 industries markets in China and the European Union (EU) by using the multivariate multi-quartile conditional autoregressive at-risk model. Moreover, to evaluate the risk spillover of each market under extreme risk conditions in time domain and frequency domain, DY spillover index and BK spillover index were constructed via generalized forecast error variance decomposition and generalized causation spectrum, respectively. Findings are as follows: (1) The tail risks and fluctuation of the trend of Chinese industry markets reflects more higher and larger than those in the EU; (2) The EU suffers from smaller external shocks, while China has the opposite result and can recover relatively faster; (3) In China, energy, industrial, information technology, financial, real estate, consumer goods, carbon emissions, and discretionary consumption industries are risk spillover industries, while healthcare, materials, telecommunication services, and utilities industries are risk receiving industries. In contrast, the risk spillover industries in the EU remain consistent with those of the Chinese markets except for the materials, discretionary consumption, consumer goods, information technology and real estate industries. (4) On the short-term, medium-term and long-term scales, the risk spillover of China's carbon emission trading market and various industries is basically consistent with that of the EU. These findings contribute to reducing greenhouse gas emissions and achieving the goal of carbon peak and carbon neutrality.</p>","PeriodicalId":11673,"journal":{"name":"Energy Science & Engineering","volume":"12 10","pages":"4680-4702"},"PeriodicalIF":3.5000,"publicationDate":"2024-09-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/ese3.1907","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Energy Science & Engineering","FirstCategoryId":"5","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1002/ese3.1907","RegionNum":3,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"ENERGY & FUELS","Score":null,"Total":0}
引用次数: 0
Abstract
Widely concerns over the carbon emission problems have been aroused. Prior studies have documented the correlation between the carbon emission market and industries separately. This study compared the tail risks and risk spillover effect of the carbon emission and 11 industries markets in China and the European Union (EU) by using the multivariate multi-quartile conditional autoregressive at-risk model. Moreover, to evaluate the risk spillover of each market under extreme risk conditions in time domain and frequency domain, DY spillover index and BK spillover index were constructed via generalized forecast error variance decomposition and generalized causation spectrum, respectively. Findings are as follows: (1) The tail risks and fluctuation of the trend of Chinese industry markets reflects more higher and larger than those in the EU; (2) The EU suffers from smaller external shocks, while China has the opposite result and can recover relatively faster; (3) In China, energy, industrial, information technology, financial, real estate, consumer goods, carbon emissions, and discretionary consumption industries are risk spillover industries, while healthcare, materials, telecommunication services, and utilities industries are risk receiving industries. In contrast, the risk spillover industries in the EU remain consistent with those of the Chinese markets except for the materials, discretionary consumption, consumer goods, information technology and real estate industries. (4) On the short-term, medium-term and long-term scales, the risk spillover of China's carbon emission trading market and various industries is basically consistent with that of the EU. These findings contribute to reducing greenhouse gas emissions and achieving the goal of carbon peak and carbon neutrality.
期刊介绍:
Energy Science & Engineering is a peer reviewed, open access journal dedicated to fundamental and applied research on energy and supply and use. Published as a co-operative venture of Wiley and SCI (Society of Chemical Industry), the journal offers authors a fast route to publication and the ability to share their research with the widest possible audience of scientists, professionals and other interested people across the globe. Securing an affordable and low carbon energy supply is a critical challenge of the 21st century and the solutions will require collaboration between scientists and engineers worldwide. This new journal aims to facilitate collaboration and spark innovation in energy research and development. Due to the importance of this topic to society and economic development the journal will give priority to quality research papers that are accessible to a broad readership and discuss sustainable, state-of-the art approaches to shaping the future of energy. This multidisciplinary journal will appeal to all researchers and professionals working in any area of energy in academia, industry or government, including scientists, engineers, consultants, policy-makers, government officials, economists and corporate organisations.