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Do weather conditions drive China's carbon-coal-electricity markets systemic risk? A multi-timescale analysis

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  • Zhao, Yi
  • Dai, Xingyu
  • Zhang, Dongna
  • Wang, Qunwei
  • Cao, Yaru

Abstract

This paper uses the wavelet coherency method to reveal the timescale-varying driving mechanism of 12 different types of weather conditions data on risk measures of China's Carbon-Coal-Electricity (CCE) system. First, we find that temperature may be a major factor influencing the co-movement pattern of China's CCE system on a long-term timescale, but cannot affect information spillover pattern of the CCE system. Second, snowfall, cloud, and wind levels could influence the long-term variation of the CCE system's risk measurement. Third, none of the selected weather condition indicators could influence the short- and medium-run CCE systemic risk.

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  • Zhao, Yi & Dai, Xingyu & Zhang, Dongna & Wang, Qunwei & Cao, Yaru, 2023. "Do weather conditions drive China's carbon-coal-electricity markets systemic risk? A multi-timescale analysis," Finance Research Letters, Elsevier, vol. 51(C).
    • Handle: RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322006092
    DOI: 10.1016/j.frl.2022.103432
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    References listed on IDEAS

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