The impact of economic policy uncertainties on the volatility of European carbon market

 0 Người đánh giá. Xếp hạng trung bình 0

Tác giả: Peng-Fei Dai, Toan Luu Duc Huynh, Jiqiang Wang, Xiong Xiong

Ngôn ngữ: eng

Ký hiệu phân loại: 339.5 Macroeconomic policy

Thông tin xuất bản: 2020

Mô tả vật lý:

Bộ sưu tập: Metadata

ID: 164882

Comment: 26 pages, 1 figures, 8 tablesThe European Union Emission Trading Scheme is a carbon emission allowance trading system designed by Europe to achieve emission reduction targets. The amount of carbon emission caused by production activities is closely related to the socio-economic environment. Therefore, from the perspective of economic policy uncertainty, this article constructs the GARCH-MIDAS-EUEPU and GARCH-MIDAS-GEPU models for investigating the impact of European and global economic policy uncertainty on carbon price fluctuations. The results show that both European and global economic policy uncertainty will exacerbate the long-term volatility of European carbon spot return, with the latter having a stronger impact when the change is the same. Moreover, the volatility of the European carbon spot return can be forecasted better by the predictor, global economic policy uncertainty. This research can provide some implications for market managers in grasping carbon market trends and helping participants control the risk of fluctuations in carbon allowances.
Tạo bộ sưu tập với mã QR

THƯ VIỆN - TRƯỜNG ĐẠI HỌC CÔNG NGHỆ TP.HCM

ĐT: (028) 36225755 | Email: tt.thuvien@hutech.edu.vn

Copyright @2024 THƯ VIỆN HUTECH