气候变化领域集成服务门户(CCPortal): Connectedness mechanisms in the Carbon-Commodity-Finance system: Investment and management policy implications for emerging economies

CCPortal

DOI	10.1016/j.enpol.2022.113195
	Connectedness mechanisms in the Carbon-Commodity-Finance system: Investment and management policy implications for emerging economies
	Tian, Tingting; Lai, Kee -hung; Wong, Christina W. Y.
发表日期	2022
ISSN	0301-4215
EISSN	1873-6777
卷号	169 页码:12
英文摘要	Prior studies investigating the interactions between the carbon market with other markets are confined to developed countries, largely overlooking emerging economies that encounter environmental dilemmas caused by high carbon emission coupling with an economic boom. This study examines the connectedness mechanisms in the Carbon-Commodity-Finance system in emerging economies by applying a spillover index approach with the estimated vector autoregression model. Given the recent green development for tackling climate change, this study also looks into the role of green bonds and new energy index stocks in the system. Our results suggest that: (i) the pattern of system-wide spillovers changes over time and is notably driven by economic policy un-certainties; (ii) the stock market is the system's primary source of shock contagion, with green bonds being the largest shock receiver; (iii) the carbon market is heterogeneously connected with commodity and financial markets, receiving shocks from stock, silver and copper markets, and transmitting the shock to the gold market, while interacting across carbon markets directly or indirectly through energy markets, foreign exchange rates, and green bonds; and (iv) investment risk in most markets in the system can be greatly reduced by creating portfolios with other markets, except for green bonds, which are not ideal as hedging tools. These findings have significant implications for investors and policy makers in emerging economies to plan actions for asset allo-cation optimization and market risk management.
英文关键词	Dynamic spillovers; Carbon -commodity -financial system; Connectedness network; Economic policy uncertainty; Investment portfolio management
学科领域	Economics; Energy & Fuels; Environmental Sciences; Environmental Studies
语种	英语
WOS研究方向	Business & Economics ; Energy & Fuels ; Environmental Sciences & Ecology
WOS记录号	WOS:000855683300006
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/272266
作者单位	Hong Kong Polytechnic University; Hong Kong Polytechnic University
推荐引用方式 GB/T 7714	Tian, Tingting,Lai, Kee -hung,Wong, Christina W. Y.. Connectedness mechanisms in the Carbon-Commodity-Finance system: Investment and management policy implications for emerging economies[J],2022,169:12.
APA	Tian, Tingting,Lai, Kee -hung,&Wong, Christina W. Y..(2022).Connectedness mechanisms in the Carbon-Commodity-Finance system: Investment and management policy implications for emerging economies.ENERGY POLICY,169,12.
MLA	Tian, Tingting,et al."Connectedness mechanisms in the Carbon-Commodity-Finance system: Investment and management policy implications for emerging economies".ENERGY POLICY 169(2022):12.