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Dynamic Nonlinear Relationships between Carbon Emission Allowance and Reduction Credit Markets-Based on the IRF-DCC Model

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Geo-Informatics in Resource Management and Sustainable Ecosystem ( 2015, GRMSE 2015)

Part of the book series: Communications in Computer and Information Science ((CCIS,volume 569))

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.

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Acknowledgments

This work was supported by The China Postdoctoral Science Foundation (Grant No. 2014M560993) and The Natural Science Foundation of Guang Dong Province, China (Grant No. 2014A030310404).

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Authors and Affiliations

  1. School of Financial Mathematics and Engineering, South University of Science and Technology of China, Shenzhen, 518055, China

    Jingjing Jiang & Dejun Xie

  2. Research Center on Modern Logistics, Graduate School at Shenzhen, Tsinghua University, Shenzhen, 518055, China

    Bin Ye & Lixin Miao

Authors
  1. Jingjing Jiang
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  2. Bin Ye
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  3. Dejun Xie
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  4. Lixin Miao
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Corresponding authors

Correspondence to Bin Ye or Lixin Miao .

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Editors and Affiliations

  1. Wuhan University , Wuhan, China

    Fuling Bian

  2. Eastern Michigan University , Ypsilanti, China

    Yichun Xie

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Jiang, J., Ye, B., Xie, D., Miao, L. (2016). Dynamic Nonlinear Relationships between Carbon Emission Allowance and Reduction Credit Markets-Based on the IRF-DCC Model. In: Bian, F., Xie, Y. (eds) Geo-Informatics in Resource Management and Sustainable Ecosystem. GRMSE 2015 2015. Communications in Computer and Information Science, vol 569. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-662-49155-3_79

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  • DOI: https://doi.org/10.1007/978-3-662-49155-3_79

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-662-49154-6

  • Online ISBN: 978-3-662-49155-3

  • eBook Packages: Computer ScienceComputer Science (R0)

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