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dc.contributor.authorLyu, Chenyan
dc.contributor.authorScholtens, Bert
dc.date.accessioned2023-12-13T11:30:04Z
dc.date.available2023-12-13T11:30:04Z
dc.date.issued2024-03
dc.identifier297391668
dc.identifier05dd1b33-9709-4a50-a5fe-15f09f318662
dc.identifier85178560727
dc.identifier.citationLyu , C & Scholtens , B 2024 , ' Integration of the international carbon market : a time-varying analysis ' , Renewable and Sustainable Energy Reviews , vol. 191 , 114102 . https://doi.org/10.1016/j.rser.2023.114102en
dc.identifier.issn1364-0321
dc.identifier.otherRIS: urn:320E9EE4DD0F10D74D2EACF7DF1E297C
dc.identifier.otherORCID: /0000-0001-5774-5191/work/148887953
dc.identifier.urihttps://hdl.handle.net/10023/28863
dc.description.abstractEmission Trading Schemes (ETSs) have become vital for meeting global emission reduction targets. They are gaining momentum, as witnessed by increasing market size and improving information mechanisms. Examining key emission markets — European Union, New Zealand, California, and Hubei (China) — from April 2014 to December 2021, a Time-Varying Parameter Vector Autoregressive (TVP-VAR) model is applied to discern the markets' connectedness. In a novel approach to global carbon market research, this study uniquely combines the TVP-VAR with the connectedness approach, overcoming fixed parameters estimation and ensuring precise parameter estimates. The approach sheds light on patterns of total, directional, and net return/volatility spillovers, striving to identify which markets act as transmitters and which are receivers. Linking market spillovers to market characteristics, events, and policies offers insights for investors and policymakers. The total connectedness index of 10–12 % suggests a relatively low level of spillover, when compared to other market integration studies. The dynamic nature of return and volatility spillovers is evident, especially during the energy crisis and Covid-19 outbreak. The EU's ETS consistently acts as a net transmitter, predominantly in return connectedness, while New Zealand's ETS emerges as a major shock receiver in both return and volatility systems. Global climate negotiations and carbon market events have only a minor impact on the level of connectedness, in contrast to energy or financial crises and the Covid-19 outbreak. By highlighting the intricacies of carbon price volatility and market transmissions, the findings equip stakeholders with invaluable, actionable insights.
dc.format.extent9404672
dc.language.isoeng
dc.relation.ispartofRenewable and Sustainable Energy Reviewsen
dc.subjectCarbon markets integrationen
dc.subjectVolatility connectednessen
dc.subjectTVP-VARen
dc.subjectMarket risken
dc.subjectEmission trading schemeen
dc.subjectSpillover effectsen
dc.subjectHD28 Management. Industrial Managementen
dc.subjectRR-NDASen
dc.subjectSDG 13 - Climate Actionen
dc.subjectMCCen
dc.subject.lccHD28en
dc.titleIntegration of the international carbon market : a time-varying analysisen
dc.typeJournal articleen
dc.contributor.institutionUniversity of St Andrews. Finance (Business School)en
dc.contributor.institutionUniversity of St Andrews. Centre for Energy Ethicsen
dc.contributor.institutionUniversity of St Andrews. Centre for Responsible Banking and Financeen
dc.identifier.doihttps://doi.org/10.1016/j.rser.2023.114102
dc.description.statusPeer revieweden


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