Spillover Effects of Macroeconomic Uncertainty on Time-Varying Volatility in Carbon Trading Market:An Empirical Study Based on the GARCH-SVAR-AB Model
To explore the influencing factors of economic uncertainty affecting the trading price of emission rights in Chi-na's carbon trading market,five types of variables are selected,namely,macroeconomics,national carbon trading price,coal energy,securities market and electricity consumption,and the five variables are measured by the spillover indexes of the GARCH-SVAR-AB model in the time and frequency domains.An empirical study is conducted on the level of time-varying volatility spillover effect and its asymmetry in China's carbon trading market price from 2014 to 2022.The results show that the carbon trading price volatility has a significant time-varying volatility risk spillover effect on China's financial market,and exhibits heterogeneity of risk contagion and obvious asymmetry under different shock sizes and positive and negative shocks.There is a significant difference between the risk spillover trend in extreme states and normal states,and the level of risk spillover in extreme states is much higher than in normal states.The economic policy uncertainty has a significant impact on the trading price of the carbon trading market in the short term,but its impact is weaker in the long term.Further analyses reveal that both the size and direction of shocks have significant asymmetric impacts on the volatility of the carbon trading market,and the risk spillover effect and its asymmetry are even more significant under the impacts of extreme risk events.Therefore,the government should,in collaboration with financial institutions,strengthen the policy regulation system and price control mechanism in the carbon trading market,promote innovative development of carbon financial derivatives,reduce the transmission of systemic risks in China's financial market arising from price volatility in the carbon trading market,prevent the risk transmission path,and continuously enhance the development of China's green carbon financial market.
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