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The dynamic spillovers among carbon, fossil energy and electricity markets based on a TVP-VAR-SV method

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  • Qiao, Sen
  • Dang, Yi Jing
  • Ren, Zheng Yu
  • Zhang, Kai Quan

Abstract

The linkage among carbon, fossil energy and electricity markets are gradually strengthening, but few studies focus on the dynamics of the spillover intensity and direction, as well as the time lag and periodicity. Using TVP-VAR-SV method and impulse response functions, this paper explores the time lag and periodicity of spillover intensity and direction among carbon, fossil energy and electricity markets. The empirical results show that the intensity and direction of spillovers among carbon, fossil energy and electricity markets are characterized by time-varying asymmetry. Moreover, the duration of the time-varying spillover effect among carbon, fossil energy and electricity markets are basically maintained at three months, and the spillover effect weakens with the passage of time, especially when the lag period is one month, the intensity of spillover reaches the maximum, which indicates that the dynamic spillovers among carbon, fossil energy and electricity markets have obvious time lag and periodicity. Finally, in the short term, the rise in carbon and fossil energy prices will reduce the value of the electricity market. However, in the long run, it may promote the electricity market to speed up the adjustment of energy structure, reduce carbon emissions and improve the value of the electricity market.

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  • Qiao, Sen & Dang, Yi Jing & Ren, Zheng Yu & Zhang, Kai Quan, 2023. "The dynamic spillovers among carbon, fossil energy and electricity markets based on a TVP-VAR-SV method," Energy, Elsevier, vol. 266(C).
    • Handle: RePEc:eee:energy:v:266:y:2023:i:c:s0360544222032303
    DOI: 10.1016/j.energy.2022.126344
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