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Economic Policy Uncertainty and Local Carbon Emission Trading: A Multifractal Analysis from US and Guangdong

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  • Ruwei Zhao
  • Lei Xie

Abstract

This paper investigates the long-term dynamic cross-correlation evolution between US economic policy uncertainty index (USEPU) and Guangdong carbon emission trading price (GDCP) from the multifractal detrended cross-correlation analysis (MF-DCCA) perspective. With the calculation of correlation statistics and fluctuation function, the beginning procedures of MF-DCCA, we find that the cross-correlation between USEPU and GDCP is significant and presents power law property. Also, with the Hurst exponent, we find that the long-horizon correlations between series are persistent. Moreover, we perform Rényi exponent and spectrum singularity check. The empirical findings reveal that the all the correlations are of multifractality and the correlation of GDCP holds the highest degree.

Suggested Citation

  • Ruwei Zhao & Lei Xie, 2021. "Economic Policy Uncertainty and Local Carbon Emission Trading: A Multifractal Analysis from US and Guangdong," Complexity, Hindawi, vol. 2021, pages 1-10, July.
    • Handle: RePEc:hin:complx:8091394
    DOI: 10.1155/2021/8091394
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    Cited by:

    1. Yuchen An & Kunliang Jiang & Jiashan Song, 2023. "Does a Cross-Correlation of Economic Policy Uncertainty with China’s Carbon Market Really Exist? A Perspective on Fractal Market Hypothesis," Sustainability, MDPI, vol. 15(14), pages 1-18, July.
    2. Liu, Xiaoqin & Wojewodzki, Michal & Cai, Yifei & Sharma, Satish, 2023. "The dynamic relationships between carbon prices and policy uncertainties," Technological Forecasting and Social Change, Elsevier, vol. 188(C).

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