Zhao, Yi, Dai, Xingyu, Zhang, Dongna, Wang, Qunwei and Cao, Yaru (2023) Do weather conditions drive China's carbon-coal-electricity markets systemic risk? A multi-timescale analysis. Finance Research Letters, 51. p. 103432. ISSN 1544-6123
|
Text
Accepted manuscript.pdf - Accepted Version Available under License Creative Commons Attribution Non-commercial No Derivatives 4.0. Download (1MB) | Preview |
Abstract
This paper uses the wavelet coherency method to reveal the timescale-varying driving mechanism of 12 different types of weather conditions data on risk measures of China's Carbon-Coal-Electricity (CCE) system. First, we find that temperature may be a major factor influencing the co-movement pattern of China's CCE system on a long-term timescale, but cannot affect information spillover pattern of the CCE system. Second, snowfall, cloud, and wind levels could influence the long-term variation of the CCE system's risk measurement. Third, none of the selected weather condition indicators could influence the short- and medium-run CCE systemic risk.
| Item Type: | Article |
|---|---|
| Additional Information: | Funding information: This research is financially supported by the National Social Science Foundation of China (Grant No. 21&ZD110) and Postgraduate Research & Practice Innovation Program of Jiangsu Province (No. KYCX21_0237). |
| Uncontrolled Keywords: | Carbon-coal-electricity markets system, Weather conditions, Multi-timescale analysis, Wavelet coherency, Dynamic equicorrelatioin |
| Subjects: | N100 Business studies |
| Department: | Faculties > Business and Law > Newcastle Business School |
| Depositing User: | John Coen |
| Date Deposited: | 01 Nov 2022 14:59 |
| Last Modified: | 21 Oct 2023 03:30 |
| URI: | https://nrl.northumbria.ac.uk/id/eprint/50497 |
Actions (login required)
 |
View Item |
Downloads
Downloads per month over past year
