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Structural Change Features and Influencing Factors of China’s Carbon Price

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  • Jian Liu
  • Xin Hu
  • Lizhao Yan

Abstract

The existence of structural change features can lead to the failure of traditional econometric methods. This research uses the Bai-Perron test to diagnose the structural change point of the price series in China’s pilot carbon market. It uses an impulse response function to analyze the interaction between carbon prices and energy prices, stock price indices, power industry index, and similar asset prices. The results show structural change points in all five carbon markets during the operation period, and the timing of these structural change points relates to an economic situation and compliance period. In addition, the impact mechanisms of the stock price index, similar asset price, and power industry index on the price of China’s pilot carbon market change significantly before and after the structural change points, but the impact of energy price does not change except for the Hubei carbon market.

Suggested Citation

  • Jian Liu & Xin Hu & Lizhao Yan, 2023. "Structural Change Features and Influencing Factors of China’s Carbon Price," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 59(14), pages 3952-3967, November.
    • Handle: RePEc:mes:emfitr:v:59:y:2023:i:14:p:3952-3967
    DOI: 10.1080/1540496X.2022.2156280
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