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Information Linkage between Carbon and Energy Markets: Multiplex Recurrence Network Approach

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  • Hua Xu
  • Minggang Wang
  • Weiguo Yang

Abstract

In this paper, a multilayer recurrence network is introduced to examine the information linkage between carbon and energy markets. We first construct a multilayer recurrence network of energy and carbon markets, and we define the information linkage coefficient to measure the linkage relationship between the network layers based on the network microstructure. To measure the mutual leading relationship between carbon and energy markets, we construct a time-delay multilayer recurrence network and introduce the time-delay information linkage coefficient to measure the intersystem interaction. The carbon and energy prices, including West Texas Intermediate crude oil, coal, natural gas, and gasoline, from February 22, 2011, to April 1, 2019, are selected as sample data for empirical analysis. The results show that the linkage relationship between oil, coal, natural gas, and carbon prices presents a U-shaped trend in the second, transitional, and third phases of the European Union carbon market, while the linkage trend of gasoline and carbon prices continues to rise. The mutual leading relationship between energy and carbon prices changes in different stages, and carbon price plays a leading role at the present stage.

Suggested Citation

  • Hua Xu & Minggang Wang & Weiguo Yang, 2020. "Information Linkage between Carbon and Energy Markets: Multiplex Recurrence Network Approach," Complexity, Hindawi, vol. 2020, pages 1-12, August.
    • Handle: RePEc:hin:complx:5841609
    DOI: 10.1155/2020/5841609
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    Cited by:

    1. Minggang Wang & Chenyu Hua & Hua Xu, 2022. "Dynamic Linkages among Carbon, Energy and Financial Markets: Multiplex Recurrence Network Approach," Mathematics, MDPI, vol. 10(11), pages 1-23, May.
    2. Yaqi Wu & Chen Zhang & Po Yun & Dandan Zhu & Wei Cao & Zulfiqar Ali Wagan, 2021. "Time–frequency analysis of the interaction mechanism between European carbon and crude oil markets," Energy & Environment, , vol. 32(7), pages 1331-1357, November.
    3. Wang, Minggang & Hua, Chenyu & Zhu, Mengrui & Xie, Shangshan & Xu, Hua & Vilela, André L.M. & Tian, Lixin, 2022. "Interrelation measurement based on the multi-layer limited penetrable horizontal visibility graph," Chaos, Solitons & Fractals, Elsevier, vol. 162(C).

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