Linear and nonlinear Granger causality investigation between carbon market and crude oil market: A multi-scale approach

doi:10.1016/j.eneco.2015.07.005

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	Linear and nonlinear Granger causality investigation between carbon market and crude oil market: A multi-scale approach
	Yu, Lean 1; Li, Jingjing 1; Tang, Ling 1; Wang, Shuai 2
	2015-09-01
发表期刊	ENERGY ECONOMICS
ISSN	0140-9883
卷号	51 页码:300-311
摘要	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. (C) 2015 Elsevier B.V. All rights reserved.
关键词	Bivariate empirical mode decomposition Nonlinear Granger causality test Multi-scale analysis Carbon market Crude oil market
DOI	10.1016/j.eneco.2015.07.005
语种	英语
资助项目	National Science Fund for Distinguished Young Scholars (NSFC)[71025005] ; National Natural Science Foundation of China (NSFC)[91224001] ; National Natural Science Foundation of China (NSFC)[71433001] ; National Natural Science Foundation of China (NSFC)[71301006] ; National Program for Support of Top-Notch Young professionals ; Fundamental Research Funds for the Central Universities in BUCT
WOS研究方向	Business & Economics
WOS类目	Economics
WOS记录号	WOS:000364439500027
出版者	ELSEVIER SCIENCE BV
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/21151
专题	中国科学院数学与系统科学研究院
通讯作者	Tang, Ling
作者单位	1.Beijing Univ Chem Technol, Sch Econ & Management, Beijing 100029, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, NCMIS, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Yu, Lean,Li, Jingjing,Tang, Ling,et al. Linear and nonlinear Granger causality investigation between carbon market and crude oil market: A multi-scale approach[J]. ENERGY ECONOMICS,2015,51:300-311.
APA	Yu, Lean,Li, Jingjing,Tang, Ling,&Wang, Shuai.(2015).Linear and nonlinear Granger causality investigation between carbon market and crude oil market: A multi-scale approach.ENERGY ECONOMICS,51,300-311.
MLA	Yu, Lean,et al."Linear and nonlinear Granger causality investigation between carbon market and crude oil market: A multi-scale approach".ENERGY ECONOMICS 51(2015):300-311.