globalchange  > 气候变化与战略
DOI: 10.1016/j.enpol.2021.112428
论文题名:
Multiscale interplay of higher-order moments between the carbon and energy markets during Phase III of the EU ETS
作者: Dai X.; Xiao L.; Wang Q.; Dhesi G.
刊名: Energy Policy
ISSN: 03014215
出版年: 2021
卷: 156
语种: 英语
中文关键词: Energy markets ; EU ETS ; Higher-order moments ; Multiscale analysis ; Portfolio management
英文关键词: Carbon ; Emission control ; Environmental regulations ; Financial data processing ; Gas emissions ; Higher order statistics ; International law ; Power markets ; Carbon markets ; Emission trading systems ; Energy markets ; European union ; European union emission trading system ; Higher order moments ; Multi scale analysis ; Portfolio managements ; Short runs ; Time-scales ; Investments
英文摘要: The Phase III of the European Union Emission Trading System (EU ETS) is significantly different from the previous Phases in terms of price trajectory and operational mechanism. Against this background, this study reveals the multiscale interplay of higher-order moments (skewness and kurtosis) between the carbon and energy markets, and formulates optimal portfolio strategies to manage higher-order moments risks at different time horizons. We detect a breakpoint, September 15, 2016, in the carbon-energy markets which divides Phase III into two stages corresponding to different market status. Our findings show that the bidirectional higher-order moments spillovers between the carbon and energy markets are weak at the short-run timescales (below 16 trading days), while the long-run (over 16 trading days) higher-order spillover effect is greatly enhanced. In particular, we find the spillovers in the higher-order moments are strong when the carbon and energy markets are in bullish status. Furthermore, we demonstrate that carbon assets are good short-run hedge against exposure to spillover risks in higher-order moments of the energy markets, while the hedging effectiveness declines at the long-run timescales. © 2021 Elsevier Ltd
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资源类型: 期刊论文
标识符: http://119.78.100.158/handle/2HF3EXSE/167743
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作者单位: College of Economics and Management, Nanjing University of Aeronautics and Astronautics, 29 Jiangjun Avenue, Nanjing, 211106, China; Royal Holloway, University of London, EghamTW20 0EX, United Kingdom; London South Bank University, United Kingdom

Recommended Citation:
Dai X.,Xiao L.,Wang Q.,et al. Multiscale interplay of higher-order moments between the carbon and energy markets during Phase III of the EU ETS[J]. Energy Policy,2021-01-01,156
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