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Analysis of Determinants of Carbon Finance Market Price in China Based on VAR Model

In: Proceedings of the 2022 2nd International Conference on Economic Development and Business Culture (ICEDBC 2022)

Author

Listed:
  • Yihan Zhou

    (Zhongnan University of Economics and Law, School of Finance)

Abstract

ABSTRACT ‘Peak Carbon Dioxide Emission’ and ‘Carbon Neutrality’ are the carbon emission reduction targets set by China to deal with major climate problems caused by the rise of global greenhouse gases. This paper takes carbon finance markets as the research object and selects the daily data of carbon trading prices in Guangdong, Hubei, Shanghai and Shenzhen, four pilot provinces and cities from January 1, 2018 to February 28, 2022, which represent the carbon financial trading market price in China after elimination and weighted average processing. VAR model is used to study the direction and degree of influence of thermal coal, Daqing crude oil, liquefied natural gas, air quality, SSE Industrial index, CSI 300 index and EU carbon quota on China's carbon financial trading market price. According to the impulse response result, the price of the carbon financial exchange market has the smallest impact on the price of Daqing crude oil spot market, the largest fluctuation effect on its own impact, and the longest response time to the disturbance of air quality index. According to the result of variance decomposition, the contribution degree of each determinant under impact is in the following order from low to high: Eu carbon quota

Suggested Citation

  • Yihan Zhou, 2022. "Analysis of Determinants of Carbon Finance Market Price in China Based on VAR Model," Advances in Economics, Business and Management Research, in: Yushi Jiang & Yuriy Shvets & Hrushikesh Mallick (ed.), Proceedings of the 2022 2nd International Conference on Economic Development and Business Culture (ICEDBC 2022), pages 1085-1092, Springer.
    • Handle: RePEc:spr:advbcp:978-94-6463-036-7_160
    DOI: 10.2991/978-94-6463-036-7_160
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