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Correlations and Volatility Spillovers between the Carbon Trading Price and Bunker Index for the Maritime Industry

Author

Listed:
  • Ming-Tao Chou

    (Department of Aviation & Maritime Management, Chang Jung Christian University, 1 Changda Road, Gueiren District, Tainan 71101, TAIWAN)

  • Cherie Lu

    (Department of Aviation & Maritime Management, Chang Jung Christian University, 1 Changda Road, Gueiren District, Tainan 71101, TAIWAN)

Abstract

This research intends to investigate the relationship between carbon trading price and the bunker fuel index, with inputs from reviewing current greenhouse gas (GHG) mitigation management and financial measures, for the purpose of evaluating the cost implications of carbon price on the maritime industry. The Dynamic Condition Correlation Model (DCC Model) is applied for evaluating the variations of the carbon trading price and the bunker fuel index, in the light of an analysis of the proportion of fuel hedging to be used and the hedging performance. With the results of hedging performance, the cost implications of GHG mitigation management measures are investigated.

Suggested Citation

  • Ming-Tao Chou & Cherie Lu, 2016. "Correlations and Volatility Spillovers between the Carbon Trading Price and Bunker Index for the Maritime Industry," Review of Economics & Finance, Better Advances Press, Canada, vol. 6, pages 93-101, November.
    • Handle: RePEc:bap:journl:160407
    Note: The authors are grateful for the financial sponsorship of the Ministry of Science and Technology (project number MOST103-2410-H-309-014 and MOST-104-2410-H-309-011).
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Carbon trading price; Bunker fuel index; Constant Condition Correlation Model; Dynamic Condition Correlation Model;
    All these keywords.

    JEL classification:

    • C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • D46 - Microeconomics - - Market Structure, Pricing, and Design - - - Value Theory
    • E60 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General

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