从多个时间尺度的角度来看,在碳和原油市场上,地缘政治风险是否重要?
Xuejiao Ma1, Ting Yu1, Qichuan Jiang2
1School of Economics and Management, Dalian University of Technology, 116024, Dalian, China.
Journal of environmental management
|September 22, 2023
概括
地缘政治风险对石油和碳市场产生重大影响,造成不对称的溢出效应. 虽然短期波动显示相互依赖,但长期的石油-碳联系变得独立于地缘政治风险.
科学领域:
- 环境经济学环境经济学
- 金融市场分析 金融市场分析
- 地缘政治与能源问题
背景情况:
- 俄罗斯-乌克兰冲突凸显了地缘政治风险的广泛经济影响,包括能源市场和碳交易.
- 了解地缘政治事件,原油价格和碳交易之间的复杂关系对于市场稳定至关重要.
- 以前的研究往往忽略了这些相互依存的非线性和不对称性.
研究的目的:
- 调查地缘政治风险对2013年至2022年石油和碳市场之间的联系的非线性和不对称影响.
- 分析碳和原油市场之间的动态关联和溢出效应.
- 检查地缘政治风险对不同时间尺度上的石油-碳关系的长期传播机制.
主要方法:
- 动态相关性分析,探索碳和原油市场之间的相互依存关系.
- 门向量错误纠正模型 (TVECM) 评估地缘政治风险的长期传播动态.
- 最大重叠离散波形变换 (MODWT) 分析跨各种时间尺度的异质性.
主要成果:
- 在碳和原油市场之间存在显著的不对称溢出效应,受其自身波动和彼此的影响.
- 地缘政治风险冲击主要影响石油-碳联系,这些市场对地缘政治风险的相互影响有限.
- 观察到时间异质性:地缘政治风险在短期内受到石油-碳联系的影响,但在中长期变得独立.
结论:
- 石油-碳市场的联系容易受到地缘政治风险冲击的影响,尤其是在短期内.
- 石油-碳联系对地缘政治风险的影响随着时间的推移而减弱,在中长期内变得可以忽略不计.
- 调查结果为投资者和政策制定者提供了宝贵的见解,帮助他们在地缘政治动荡期间应对市场波动.
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