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Linear and nonlinear Granger causality investigation between carbon market and crude oil market: A multi-scale approach

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Cited by:

  1. Zhu, Bangzhu & Ye, Shunxin & Han, Dong & Wang, Ping & He, Kaijian & Wei, Yi-Ming & Xie, Rui, 2019. "A multiscale analysis for carbon price drivers," Energy Economics, Elsevier, vol. 78(C), pages 202-216.
  2. Federico Galán-Valdivieso & Elena Villar-Rubio & María-Dolores Huete-Morales, 2018. "The erratic behaviour of the EU ETS on the path towards consolidation and price stability," International Environmental Agreements: Politics, Law and Economics, Springer, vol. 18(5), pages 689-706, October.
  3. Fang, Sheng & Lu, Xinsheng & Li, Jianfeng & Qu, Ling, 2018. "Multifractal detrended cross-correlation analysis of carbon emission allowance and stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 551-566.
  4. Xia, Tongshui & Ji, Qiang & Geng, Jiang-Bo, 2020. "Nonlinear dependence and information spillover between electricity and fuel source markets: New evidence from a multi-scale analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 537(C).
  5. Zhao, Lili & Wen, Fenghua, 2022. "Risk-return relationship and structural breaks: Evidence from China carbon market," International Review of Economics & Finance, Elsevier, vol. 77(C), pages 481-492.
  6. Yao, Can-Zhong & Lin, Qing-Wen & Lin, Ji-Nan, 2016. "A study of industrial electricity consumption based on partial Granger causality network," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 461(C), pages 629-646.
  7. Yoon, Seong-Min, 2022. "On the interdependence between biofuel, fossil fuel and agricultural food prices: Evidence from quantile tests," Renewable Energy, Elsevier, vol. 199(C), pages 536-545.
  8. Lin, Boqiang & Chen, Yufang, 2019. "Dynamic linkages and spillover effects between CET market, coal market and stock market of new energy companies: A case of Beijing CET market in China," Energy, Elsevier, vol. 172(C), pages 1198-1210.
  9. Bangzhu Zhu & Shujiao Ma & Rui Xie & Julien Chevallier & Yi-Ming Wei, 2018. "Hilbert Spectra and Empirical Mode Decomposition: A Multiscale Event Analysis Method to Detect the Impact of Economic Crises on the European Carbon Market," Computational Economics, Springer;Society for Computational Economics, vol. 52(1), pages 105-121, June.
  10. Lei Jiang & Ling Bai, 2017. "Revisiting the Granger Causality Relationship between Energy Consumption and Economic Growth in China: A Multi-Timescale Decomposition Approach," Sustainability, MDPI, vol. 9(12), pages 1-17, December.
  11. Tiwari, Aviral Kumar & Abakah, Emmanuel Joel Aikins & Abdullah, Mohammad & Adeabah, David & Sahay, Vinita S., 2024. "Time-varying relationship between international monetary policy and energy markets," Energy Economics, Elsevier, vol. 131(C).
  12. Yinpeng Zhang & Zhixin Liu & Yingying Xu, 2018. "Carbon price volatility: The case of China," PLOS ONE, Public Library of Science, vol. 13(10), pages 1-15, October.
  13. Ling Tang & Chengyuan Zhang & Tingfei Li & Ling Li, 2021. "A novel BEMD-based method for forecasting tourist volume with search engine data," Tourism Economics, , vol. 27(5), pages 1015-1038, August.
  14. Li Jingjing & Tang Ling & Li Ling, 2020. "The Co-Movements Between Crude Oil Price and Internet Concerns: Causality Analysis in the Frequency Domain," Journal of Systems Science and Information, De Gruyter, vol. 8(3), pages 224-239, June.
  15. Wenjun Chu & Shanglei Chai & Xi Chen & Mo Du, 2020. "Does the Impact of Carbon Price Determinants Change with the Different Quantiles of Carbon Prices? Evidence from China ETS Pilots," Sustainability, MDPI, vol. 12(14), pages 1-19, July.
  16. Lau, Chi Keung & Soliman, Alaa M. & Albasu, Joseph & Gozgor, Giray, 2023. "Dependence structures among geopolitical risks, energy prices, and carbon emissions prices," Resources Policy, Elsevier, vol. 83(C).
  17. Guo, Xiaozhu & Huang, Dengshi & Li, Xiafei & Liang, Chao, 2023. "Are categorical EPU indices predictable for carbon futures volatility? Evidence from the machine learning method," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 672-693.
  18. Saeed, Asif & Chaudhry, Sajid M. & Arif, Ahmed & Ahmed, Rizwan, 2023. "Spillover of energy commodities and inflation in G7 plus Chinese economies," Energy Economics, Elsevier, vol. 127(PA).
  19. Tian, Hu & Zheng, Xiaolong & Zeng, Daniel Danjun, 2019. "Analyzing the dynamic sectoral influence in Chinese and American stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 536(C).
  20. Yang, Ming-Yuan & Chen, Zhanghangjian & Liang, Zongzheng & Li, Sai-Ping, 2023. "Dynamic and asymmetric connectedness in the global “Carbon-Energy-Stock” system under shocks from exogenous events," Journal of Commodity Markets, Elsevier, vol. 32(C).
  21. 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.
  22. Liu, Jianing & Man, Yuanyuan & Dong, Xiuliang, 2023. "Tail dependence and risk spillover effects between China's carbon market and energy markets," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 553-567.
  23. Adekoya, Oluwasegun B. & Oliyide, Johnson A. & Noman, Ambreen, 2021. "The volatility connectedness of the EU carbon market with commodity and financial markets in time- and frequency-domain: The role of the U.S. economic policy uncertainty," Resources Policy, Elsevier, vol. 74(C).
  24. Dmitriy O. Afanasyev & Elena A. Fedorova & Evgeniy V. Gilenko, 2021. "The fundamental drivers of electricity price: a multi-scale adaptive regression analysis," Empirical Economics, Springer, vol. 60(4), pages 1913-1938, April.
  25. Liangzheng Wu & Yan Huang & Yimiao Gu, 2023. "Fragmented or Unified? The State of China’s Carbon Emission Trading Market," Energies, MDPI, vol. 16(5), pages 1-11, March.
  26. Yi Yao & Lixin Tian & Guangxi Cao, 2022. "The Information Spillover among the Carbon Market, Energy Market, and Stock Market: A Case Study of China’s Pilot Carbon Markets," Sustainability, MDPI, vol. 14(8), pages 1-18, April.
  27. Zhou, Jie & Sun, Mei & Han, Dun & Gao, Cuixia, 2021. "Analysis of oil price fluctuation under the influence of crude oil stocks and US dollar index — Based on time series network model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 582(C).
  28. Wang, Xiong & Li, Jingyao & Ren, Xiaohang & Bu, Ruijun & Jawadi, Fredj, 2023. "Economic policy uncertainty and dynamic correlations in energy markets: Assessment and solutions," Energy Economics, Elsevier, vol. 117(C).
  29. Zhu, Bangzhu & Yuan, Lili & Ye, Shunxin, 2019. "Examining the multi-timescales of European carbon market with grey relational analysis and empirical mode decomposition," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 517(C), pages 392-399.
  30. Gaolu Zou & Kwong Wing Chau, 2020. "Effects of International Crude Oil Prices on Energy Consumption in China," Energies, MDPI, vol. 13(15), pages 1-17, July.
  31. Lei Wang & Provash Kumer Sarker & Elie Bouri, 2023. "Short- and Long-Term Interactions Between Bitcoin and Economic Variables: Evidence from the US," Computational Economics, Springer;Society for Computational Economics, vol. 61(4), pages 1305-1330, April.
  32. Dai, Xingyu & Xiao, Ling & Wang, Qunwei & Dhesi, Gurjeet, 2021. "Multiscale interplay of higher-order moments between the carbon and energy markets during Phase III of the EU ETS," Energy Policy, Elsevier, vol. 156(C).
  33. Yinpeng Zhang & Zhixin Liu & Xueying Yu, 2017. "The Diversification Benefits of Including Carbon Assets in Financial Portfolios," Sustainability, MDPI, vol. 9(3), pages 1-13, March.
  34. Li, Xin & Li, Zheng & Su, Chi-Wei & Umar, Muhammad & Shao, Xuefeng, 2022. "Exploring the asymmetric impact of economic policy uncertainty on China's carbon emissions trading market price: Do different types of uncertainty matter?," Technological Forecasting and Social Change, Elsevier, vol. 178(C).
  35. Jeng-Bau Lin & Chin-Chia Liang & Wei Tsai, 2019. "Nonlinear Relationships between Oil Prices and Implied Volatilities: Providing More Valuable Information," Sustainability, MDPI, vol. 11(14), pages 1-15, July.
  36. Wu, Yu-Xi & Wu, Qing-Biao & Zhu, Jia-Qi, 2019. "Improved EEMD-based crude oil price forecasting using LSTM networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 516(C), pages 114-124.
  37. Ftiti, Zied & Hadhri, Sinda, 2019. "Can economic policy uncertainty, oil prices, and investor sentiment predict Islamic stock returns? A multi-scale perspective," Pacific-Basin Finance Journal, Elsevier, vol. 53(C), pages 40-55.
  38. Sun, Xiaolei & Chen, Xiuwen & Wang, Jun & Li, Jianping, 2020. "Multi-scale interactions between economic policy uncertainty and oil prices in time-frequency domains," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  39. Shao, Liuguo & Zhang, Hua, 2020. "The impact of oil price on the clean energy metal prices: A multi-scale perspective," Resources Policy, Elsevier, vol. 68(C).
  40. Ji, Qiang & Geng, Jiang-Bo & Tiwari, Aviral Kumar, 2018. "Information spillovers and connectedness networks in the oil and gas markets," Energy Economics, Elsevier, vol. 75(C), pages 71-84.
  41. Katrakilidis Constantinos & Zafeiriou Eleni & Sariannidis Nikolaos & Dimitris Bantis, 2019. "Greenhouse gas emissions–crude oil prices: an empirical investigation in a nonlinear framework," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 21(6), pages 2835-2856, December.
  42. Wang, Lu & Ma, Feng & Niu, Tianjiao & Liang, Chao, 2021. "The importance of extreme shock: Examining the effect of investor sentiment on the crude oil futures market," Energy Economics, Elsevier, vol. 99(C).
  43. Afanasyev, D. & Fedorova, E., 2018. "External and Internal Determinants on the Electricity Market: A Multi-Scale Adaptive Causal Analysis," Journal of the New Economic Association, New Economic Association, vol. 39(3), pages 33-54.
  44. Li, Hongmin & Wang, Jianzhou & Lu, Haiyan & Guo, Zhenhai, 2018. "Research and application of a combined model based on variable weight for short term wind speed forecasting," Renewable Energy, Elsevier, vol. 116(PA), pages 669-684.
  45. Qunwei Wang & Xingyu Dai & Dequn Zhou, 2020. "Dynamic Correlation and Risk Contagion Between “Black” Futures in China: A Multi-scale Variational Mode Decomposition Approach," Computational Economics, Springer;Society for Computational Economics, vol. 55(4), pages 1117-1150, April.
  46. Fang Zhang & Zhengjun Zhang, 2020. "The tail dependence of the carbon markets: The implication of portfolio management," PLOS ONE, Public Library of Science, vol. 15(8), pages 1-17, August.
  47. Zhu, Bangzhu & Han, Dong & Chevallier, Julien & Wei, Yi-Ming, 2017. "Dynamic multiscale interactions between European carbon and electricity markets during 2005–2016," Energy Policy, Elsevier, vol. 107(C), pages 309-322.
  48. Zheng, Yan & Yin, Hua & Zhou, Min & Liu, Wenhua & Wen, Fenghua, 2021. "Impacts of oil shocks on the EU carbon emissions allowances under different market conditions," Energy Economics, Elsevier, vol. 104(C).
  49. Tan, Xueping & Sirichand, Kavita & Vivian, Andrew & Wang, Xinyu, 2020. "How connected is the carbon market to energy and financial markets? A systematic analysis of spillovers and dynamics," Energy Economics, Elsevier, vol. 90(C).
  50. Ahonen, Elena & Corbet, Shaen & Goodell, John W. & Günay, Samet & Larkin, Charles, 2022. "Are carbon futures prices stable? New evidence during negative oil," Finance Research Letters, Elsevier, vol. 47(PB).
  51. Chun Jiang & Yi-Fan Wu & Xiao-Lin Li & Xin Li, 2020. "Time-frequency Connectedness between Coal Market Prices, New Energy Stock Prices and CO 2 Emissions Trading Prices in China," Sustainability, MDPI, vol. 12(7), pages 1-17, April.
  52. Gary J. Cornwall & Jeffrey A. Mills & Beau A. Sauley & Huibin Weng, 2019. "Predictive Testing for Granger Causality via Posterior Simulation and Cross-validation," Advances in Econometrics, in: Topics in Identification, Limited Dependent Variables, Partial Observability, Experimentation, and Flexible Modeling: Part A, volume 40, pages 275-292, Emerald Group Publishing Limited.
  53. Zhao, Lili & Wen, Fenghua & Wang, Xiong, 2020. "Interaction among China carbon emission trading markets: Nonlinear Granger causality and time-varying effect," Energy Economics, Elsevier, vol. 91(C).
  54. Li, Sufang & Zhang, Hu & Yuan, Di, 2019. "Investor attention and crude oil prices: Evidence from nonlinear Granger causality tests," Energy Economics, Elsevier, vol. 84(C).
  55. Xiuwen Chen, 2023. "Are the shocks of EPU, VIX, and GPR indexes on the oil-stock nexus alike? A time-frequency analysis," Applied Economics, Taylor & Francis Journals, vol. 55(48), pages 5637-5652, October.
  56. Li, Xiuming & Sun, Mei & Gao, Cuixia & He, Huizi, 2019. "The spillover effects between natural gas and crude oil markets: The correlation network analysis based on multi-scale approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 524(C), pages 306-324.
  57. Duan, Kun & Ren, Xiaohang & Shi, Yukun & Mishra, Tapas & Yan, Cheng, 2021. "The marginal impacts of energy prices on carbon price variations: Evidence from a quantile-on-quantile approach," Energy Economics, Elsevier, vol. 95(C).
  58. Geng, Jiang-Bo & Ji, Qiang & Fan, Ying, 2017. "The relationship between regional natural gas markets and crude oil markets from a multi-scale nonlinear Granger causality perspective," Energy Economics, Elsevier, vol. 67(C), pages 98-110.
  59. Sun, Xiaolei & Yao, Xiaoyang & Wang, Jun, 2017. "Dynamic interaction between economic policy uncertainty and financial stress: A multi-scale correlation framework," Finance Research Letters, Elsevier, vol. 21(C), pages 214-221.
  60. Yaxue Yan & Weijuan Liang & Banban Wang & Xiaoling Zhang, 2023. "Spillover effect among independent carbon markets: evidence from China’s carbon markets," Economic Change and Restructuring, Springer, vol. 56(5), pages 3065-3093, October.
  61. Dou, Yue & Li, Yiying & Dong, Kangyin & Ren, Xiaohang, 2022. "Dynamic linkages between economic policy uncertainty and the carbon futures market: Does Covid-19 pandemic matter?," Resources Policy, Elsevier, vol. 75(C).
  62. Guo, Li-Yang & Feng, Chao, 2021. "Are there spillovers among China's pilots for carbon emission allowances trading?," Energy Economics, Elsevier, vol. 103(C).
  63. Chen, Weidong & Xiong, Shi & Chen, Quanyu, 2022. "Characterizing the dynamic evolutionary behavior of multivariate price movement fluctuation in the carbon-fuel energy markets system from complex network perspective," Energy, Elsevier, vol. 239(PA).
  64. Qing Peng & Fenghua Wen & Xu Gong, 2021. "Time‐dependent intrinsic correlation analysis of crude oil and the US dollar based on CEEMDAN," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 834-848, January.
  65. Lundgren, Amanda Ivarsson & Milicevic, Adriana & Uddin, Gazi Salah & Kang, Sang Hoon, 2018. "Connectedness network and dependence structure mechanism in green investments," Energy Economics, Elsevier, vol. 72(C), pages 145-153.
  66. Dan Nie & Yanbin Li & Xiyu Li, 2021. "Dynamic Spillovers and Asymmetric Spillover Effect between the Carbon Emission Trading Market, Fossil Energy Market, and New Energy Stock Market in China," Energies, MDPI, vol. 14(19), pages 1-22, October.
  67. Zhu, Bangzhu & Han, Dong & Wang, Ping & Wu, Zhanchi & Zhang, Tao & Wei, Yi-Ming, 2017. "Forecasting carbon price using empirical mode decomposition and evolutionary least squares support vector regression," Applied Energy, Elsevier, vol. 191(C), pages 521-530.
  68. Chen, Hao & Xu, Chao, 2022. "The impact of cryptocurrencies on China's carbon price variation during COVID-19: A quantile perspective," Technological Forecasting and Social Change, Elsevier, vol. 183(C).
  69. De Vita, Glauco & Trachanas, Emmanouil, 2016. "‘Nonlinear causality between crude oil price and exchange rate: A comparative study of China and India’ — A failed replication (negative Type 1 and Type 2)," Energy Economics, Elsevier, vol. 56(C), pages 150-160.
  70. Bhattacherjee, Purba & Mishra, Sibanjan & Kang, Sang Hoon, 2023. "Does market sentiment and global uncertainties influence ESG-oil nexus? A time-frequency analysis," Resources Policy, Elsevier, vol. 86(PA).
  71. Tan, Xue-Ping & Wang, Xin-Yu, 2017. "Dependence changes between the carbon price and its fundamentals: A quantile regression approach," Applied Energy, Elsevier, vol. 190(C), pages 306-325.
  72. Niu, Hongli, 2021. "Correlations between crude oil and stocks prices of renewable energy and technology companies: A multiscale time-dependent analysis," Energy, Elsevier, vol. 221(C).
  73. Wei, Jiangqiao & Ma, Zhe & Wang, Anjian & Li, Pengyuan & Sun, Xiaoyan & Yuan, Xiaojing & Hao, Hongchang & Jia, Hongxiang, 2022. "Multiscale nonlinear Granger causality and time-varying effect analysis of the relationship between iron ore futures and spot prices," Resources Policy, Elsevier, vol. 77(C).
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