Research on the Volatility Spillover Effect between China's Carbon Market and New Energy Market

Zhengting Jiang

《Frontiers in Economics and Management》 4卷4期 (2023/04) Pp. 154-163

https://doi.org/10.6981/FEM.202304_4(4).0019

摘要

The "double carbon" target is a self‐imposed initiative of China, and its essence is energy transition. This paper empirically analyzes the volatility spillover effect between China's carbon market and new energy market by constructing an HVS‐EGARCH model, which significantly improves the in‐sample fit and out‐of‐sample forecasting accuracy compared with the benchmark model HVS‐GARCH. The results show that the short‐term volatility of the Chinese carbon market has a significant positive spillover effect on the new energy market. It can be concluded that the implementation of the short‐term trading mechanism in the Chinese carbon market is not only beneficial to the achievement of the national total emissions reduction target, but also can help the development of the new energy market and drive the low‐carbon transition of the whole society.

關鍵字

"Double Carbon" Target ； Carbon Market ； New Energy Market ； HVS‐EGARCH Model

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