Dynamic nonlinear relationships between carbon emission allowance and reduction credit markets-based on the IRF-DCC model

Jingjing Jiang, Bin Ye*, Dejun Xie, Lixin Miao

*Corresponding author for this work

Research output: Chapter in Book or Report/Conference proceedingConference Proceedingpeer-review

1 Citation (Scopus)

Abstract

Emission trading and market mechanism have increasingly become crucial policy measures to promote sustainable development. Coupled with carbon emission reduction credit trading, carbon emission allowance trading under the cap-and-trade scheme is also steadily developing in China. To learn from the EU ETS’s experience, the paper applied the IRF-DCC model to explore the dynamic nonlinear relations between EUA and CER markets. Empirical results indicate that EUA and CER are dynamically and conditionally correlated both in the spot and future markets. Correlations of spot volatilities are highly instable and market dependent while correlations of future volatilities are relatively stable and independent.

Original languageEnglish
Title of host publicationGeo-Informatics in Resource Management and Sustainable Ecosystem - 3rd International Conference, GRMSE 2015, Revised Selected Papers
EditorsYichun Xie, Fuling Bian
PublisherSpringer Verlag
Pages770-777
Number of pages8
ISBN (Print)9783662491546
Publication statusPublished - 2016
Event3rd International Conference on Geo-Informatics in Resource Management and Sustainable Ecosystem, GRMSE 2015 - Wuhan, China
Duration: 16 Oct 201518 Oct 2015

Publication series

NameCommunications in Computer and Information Science
Volume569
ISSN (Print)1865-0929

Conference

Conference3rd International Conference on Geo-Informatics in Resource Management and Sustainable Ecosystem, GRMSE 2015
Country/TerritoryChina
CityWuhan
Period16/10/1518/10/15

Keywords

  • Carbon emission allowance
  • Carbon market
  • Carbon reduction credit
  • EU ETS
  • IRF-DCC

Fingerprint

Dive into the research topics of 'Dynamic nonlinear relationships between carbon emission allowance and reduction credit markets-based on the IRF-DCC model'. Together they form a unique fingerprint.

Cite this