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A study of price linkage in China's carbon-coal market based on the perspective of structural change

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  • Yu, Jiaohui
  • Luo, Jinliang

Abstract

This study investigates the price linkage between the Chinese carbon and coal markets. we constructed a VAR model in stages based on event cut-off points and combine Granger causality test and impulse response to study the price linkage between the two markets. The results show that both markets undergo significant structural mutations, and the proximity of the mutation points to each other has a strong intrinsic correlation, and the structural mutations caused by the occurrence of major events will alter market covariance and price linkages.

Suggested Citation

  • Yu, Jiaohui & Luo, Jinliang, 2024. "A study of price linkage in China's carbon-coal market based on the perspective of structural change," Finance Research Letters, Elsevier, vol. 59(C).
    • Handle: RePEc:eee:finlet:v:59:y:2024:i:c:s1544612323010784
    DOI: 10.1016/j.frl.2023.104706
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    References listed on IDEAS

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    1. Oberndorfer, Ulrich, 2009. "EU Emission Allowances and the stock market: Evidence from the electricity industry," Ecological Economics, Elsevier, vol. 68(4), pages 1116-1126, February.
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