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The driving factors of China's carbon prices: Evidence from using ICEEMDAN-HC method and quantile regression

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  • Liu, Ying Lin
  • Zhang, Jing Jie
  • Fang, Yan

Abstract

We use the ICEEMDAN-HC method and quantile regressions to investigate factors affecting Chinese carbon prices, taking the Guangdong pilot market as an example. We consider four influencing factors: the financial market, the energy market, environment and policy factors, and macroeconomic factors. The results show that the factors driving China's carbon prices differ under different timescales and market conditions, and the driving factors for the long term are always consistent with those for the original dataset. Further, China's carbon market is still regional in nature and is mainly driven by market forces such as the finance market and energy market.

Suggested Citation

  • Liu, Ying Lin & Zhang, Jing Jie & Fang, Yan, 2023. "The driving factors of China's carbon prices: Evidence from using ICEEMDAN-HC method and quantile regression," Finance Research Letters, Elsevier, vol. 54(C).
    • Handle: RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001290
    DOI: 10.1016/j.frl.2023.103756
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    More about this item

    Keywords

    Carbon market; Driving factors; ICEEMDAN; Hierarchical clustering analysis; Quantile regression; China;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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