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A Multiple Timescales Conditional Causal Analysis on the Carbon-Energy Relationship: Evidence from European and Emerging Markets

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  • Lu Yang
  • Shigeyuki Hamori
  • Xiaojing Cai

Abstract

This study aims to investigate the nexus between European and emerging markets in terms of multiple-timescale conditional analysis of the carbon-energy relationship. The findings identified the price movements of fossil fuels, Granger-caused movements in the carbon price, and movements in the carbon price Granger-caused movements in the electricity price. Furthermore, it was determined that in the long term, the crude oil and gas markets may increase and the coal market may decrease their causal influence on the carbon market. Finally, the role of the carbon market in the conditional Granger-causal network was observed to weaken during Phase III of the European Union Emissions Trading Scheme. These findings imply asymmetric information spillover between the European and emerging markets, particularly in the long term.

Suggested Citation

  • Lu Yang & Shigeyuki Hamori & Xiaojing Cai, 2023. "A Multiple Timescales Conditional Causal Analysis on the Carbon-Energy Relationship: Evidence from European and Emerging Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 59(8), pages 2775-2785, June.
    • Handle: RePEc:mes:emfitr:v:59:y:2023:i:8:p:2775-2785
    DOI: 10.1080/1540496X.2023.2192346
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