This paper proposes an integrated TVP-VAR model to investigate the volatility spillover mechanisms among different financial markets as well as their respective roles in the global volatility transmission system, including China’s carbon market, crude oil, new energy, new energy automobile, coal and natural gas markets, which is named energy market. Utilizing the time-varying volatility spillover indices (TVP-DY), we find that there are obvious dynamic spillover effects between China’s carbon and energy markets, and the sensitivity of different regional carbon markets to different energy markets varies. In addition, China’s carbon market is mainly affected by price fluctuations in the traditional fossil energy market, but the new energy market can play an effective role in hedging risks. Moreover, China’s carbon market and energy market have a fragile Cycle Spillover Network style, thus it is necessary to demonstrate a complex risk spillover mechanism between them.
KeywordsCarbon MarketNew Energy MarketTVP-VAR ModelTVP-DY Spillover Index
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