International Journal of Economy, Energy and Environment

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Impact of Economic Policy Uncertainty on Chinese Carbon Price

Received: 23 January 2019    Accepted: 12 March 2019    Published: 30 March 2019
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Abstract

There are direct as well as indirect linkages between economic policy uncertainty and carbon market through the channels of market fundamentals. This paper theoretically analyzes the linkages between economic policy uncertainty and carbon price and empirically examines the impact of Chinese economic policy uncertainty on Hubei carbon prices. A two-regime Markov-Switching process is introduced into the VAR model to examine the impact of economic policy uncertainty during different regimes of the carbon market. The empirical results show that the two-regime Markov-Switching model applies well in modelling the return series from Hubei carbon market during April 2014 to December 2017. Under the two different regimes, although the impacts from economic policy uncertainty are both significantly positive, the magnitude of the impacts differs. The impact of Chinese economic policy uncertainty on Hubei carbon price is larger during the low volatility period on carbon market than that during the high volatility period on carbon market.

DOI 10.11648/j.ijeee.20190401.13
Published in International Journal of Economy, Energy and Environment (Volume 4, Issue 1, February 2019)
Page(s) 18-23
Creative Commons

This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited.

Copyright

Copyright © The Author(s), 2024. Published by Science Publishing Group

Keywords

Economic Policy Uncertainty, Carbon Market, Markov Regime Switching, Impulse Response Function

References
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Author Information
  • School of Economics, Hefei University of Technology, Hefei, China

  • School of Economics, Hefei University of Technology, Hefei, China

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    Chen Ling-Ling, Wang Wen-Jun. (2019). Impact of Economic Policy Uncertainty on Chinese Carbon Price. International Journal of Economy, Energy and Environment, 4(1), 18-23. https://doi.org/10.11648/j.ijeee.20190401.13

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    Chen Ling-Ling; Wang Wen-Jun. Impact of Economic Policy Uncertainty on Chinese Carbon Price. Int. J. Econ. Energy Environ. 2019, 4(1), 18-23. doi: 10.11648/j.ijeee.20190401.13

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    AMA Style

    Chen Ling-Ling, Wang Wen-Jun. Impact of Economic Policy Uncertainty on Chinese Carbon Price. Int J Econ Energy Environ. 2019;4(1):18-23. doi: 10.11648/j.ijeee.20190401.13

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  • @article{10.11648/j.ijeee.20190401.13,
      author = {Chen Ling-Ling and Wang Wen-Jun},
      title = {Impact of Economic Policy Uncertainty on Chinese Carbon Price},
      journal = {International Journal of Economy, Energy and Environment},
      volume = {4},
      number = {1},
      pages = {18-23},
      doi = {10.11648/j.ijeee.20190401.13},
      url = {https://doi.org/10.11648/j.ijeee.20190401.13},
      eprint = {https://download.sciencepg.com/pdf/10.11648.j.ijeee.20190401.13},
      abstract = {There are direct as well as indirect linkages between economic policy uncertainty and carbon market through the channels of market fundamentals. This paper theoretically analyzes the linkages between economic policy uncertainty and carbon price and empirically examines the impact of Chinese economic policy uncertainty on Hubei carbon prices. A two-regime Markov-Switching process is introduced into the VAR model to examine the impact of economic policy uncertainty during different regimes of the carbon market. The empirical results show that the two-regime Markov-Switching model applies well in modelling the return series from Hubei carbon market during April 2014 to December 2017. Under the two different regimes, although the impacts from economic policy uncertainty are both significantly positive, the magnitude of the impacts differs. The impact of Chinese economic policy uncertainty on Hubei carbon price is larger during the low volatility period on carbon market than that during the high volatility period on carbon market.},
     year = {2019}
    }
    

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  • TY  - JOUR
    T1  - Impact of Economic Policy Uncertainty on Chinese Carbon Price
    AU  - Chen Ling-Ling
    AU  - Wang Wen-Jun
    Y1  - 2019/03/30
    PY  - 2019
    N1  - https://doi.org/10.11648/j.ijeee.20190401.13
    DO  - 10.11648/j.ijeee.20190401.13
    T2  - International Journal of Economy, Energy and Environment
    JF  - International Journal of Economy, Energy and Environment
    JO  - International Journal of Economy, Energy and Environment
    SP  - 18
    EP  - 23
    PB  - Science Publishing Group
    SN  - 2575-5021
    UR  - https://doi.org/10.11648/j.ijeee.20190401.13
    AB  - There are direct as well as indirect linkages between economic policy uncertainty and carbon market through the channels of market fundamentals. This paper theoretically analyzes the linkages between economic policy uncertainty and carbon price and empirically examines the impact of Chinese economic policy uncertainty on Hubei carbon prices. A two-regime Markov-Switching process is introduced into the VAR model to examine the impact of economic policy uncertainty during different regimes of the carbon market. The empirical results show that the two-regime Markov-Switching model applies well in modelling the return series from Hubei carbon market during April 2014 to December 2017. Under the two different regimes, although the impacts from economic policy uncertainty are both significantly positive, the magnitude of the impacts differs. The impact of Chinese economic policy uncertainty on Hubei carbon price is larger during the low volatility period on carbon market than that during the high volatility period on carbon market.
    VL  - 4
    IS  - 1
    ER  - 

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