کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5064212 | 1476712 | 2015 | 39 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Linear and nonlinear Granger causality investigation between carbon market and crude oil market: A multi-scale approach
ترجمه فارسی عنوان
بررسی خطی و غیرخطی علیت گرنجر در بازار کربن و بازار نفت خالص: یک رویکرد چند مقیاس
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
مهندسی انرژی
انرژی (عمومی)
چکیده انگلیسی
This paper investigates the causality between carbon market and crude oil market using a multi-scale analysis approach, in which two main steps are involved: multi-scale analysis and causality testing. In multi-scale analysis, bivariate empirical mode decomposition (BEMD) is employed to decompose the two series of market returns at different time-scales. In causality testing, a linear and nonlinear integrated Granger test is formulated to investigate the relationship among each pair of matched components on a similar time-scale. With the European Union emission allowance (EUA) futures and Brent futures as study samples, some interesting findings can be obtained. (1) At the original data level (without multi-scale decomposition), this study finds evidence supporting a neutrality hypothesis, i.e., no Granger causality between the carbon and crude oil markets. (2) On small time-scale (within one week excluding non-work days), the two markets might be uncorrelated and driven by their own respective supply-demand disequilibriums. (3) For medium time-scale (above one week but below one year), there is a strong bi-directional linear and nonlinear spillover effect between the two markets, due to certain extra factors with medium-term effects, e.g., significant events and policy changes. (4) For long time-scale, the long-term trends of the two markets appear an obvious linear relationship.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Energy Economics - Volume 51, September 2015, Pages 300-311
Journal: Energy Economics - Volume 51, September 2015, Pages 300-311
نویسندگان
Lean Yu, Jingjing Li, Ling Tang, Shuai Wang,