气候变化领域集成服务门户(CCPortal): Multiscale interplay of higher-order moments between the carbon and energy markets during Phase III of the EU ETS

CCPortal

DOI	10.1016/j.enpol.2021.112428
	Multiscale interplay of higher-order moments between the carbon and energy markets during Phase III of the EU ETS
	Dai X.; Xiao L.; Wang Q.; Dhesi G.
发表日期	2021
ISSN	03014215
卷号	156
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
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
语种	英语
来源期刊	Energy Policy
文献类型	期刊论文
条目标识符	http://gcip.llas.ac.cn/handle/2XKMVOVA/205067
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
推荐引用方式 GB/T 7714	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],2021,156.
APA	Dai X.,Xiao L.,Wang Q.,&Dhesi G..(2021).Multiscale interplay of higher-order moments between the carbon and energy markets during Phase III of the EU ETS.Energy Policy,156.
MLA	Dai X.,et al."Multiscale interplay of higher-order moments between the carbon and energy markets during Phase III of the EU ETS".Energy Policy 156(2021).