Impact of Economic Policy Uncertainty on Chinese Carbon Price

Chen Ling-Ling; Wang Wen-Jun

doi:doi:10.11648/j.ijeee.20190401.13

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Impact of Economic Policy Uncertainty on Chinese Carbon Price

Chen Ling-Ling, Wang Wen-Jun

Published in International Journal of Economy, Energy and Environment (Volume 4, Issue 1)

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.

Published in	International Journal of Economy, Energy and Environment (Volume 4, Issue 1)
DOI	10.11648/j.ijeee.20190401.13
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), 2019. Published by Science Publishing Group

Keywords

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

References

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APA Style

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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ACS 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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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://article.sciencepublishinggroup.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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Author Information

Chen Ling-Ling

School of Economics, Hefei University of Technology, Hefei, China
Wang Wen-Jun

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

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APA Style

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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ACS 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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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

Copy | Download

@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://article.sciencepublishinggroup.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}
}

Copy | Download

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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