EU carbon pricing and clean energy markets: evidence from cross-quantilogram and multivariate time-varying quantile regression

Unofficial AI-generated summary based on the public title and abstract. Not an official translation.

🔬研究者:Provides empirical evidence on nonlinear carbon-price transmission to clean energy equities, useful for further research on climate risk and asset pricing.

🏢実務担当者:Highlights how carbon price signals can inform portfolio allocation and transition-risk management in clean energy investments.

🏛政策担当者:Suggests that carbon pricing can act as a forward-looking signal for transition risk, supporting policy design for market-based climate measures.

Understanding how regionally determined carbon-pricing signals are transmitted into globally traded clean energy equities is increasingly important as climate policy and financial markets become more integrated. Yet, evidence remains limited on whether these linkages are nonlinear, state-dependent, and heterogeneous across clean energy technologies. This study examines how movements in European Union Emissions Trading System (EU-ETS) futures, a regional carbon market and policy-linked price signal, are reflected in the returns of ten globally listed clean energy subsectors using daily data from 19 October 2010 to 6 July 2024. Using disaggregated NASDAQ OMX Clean Energy subsector indices, the analysis captures how carbon-pricing information originating in the EU is incorporated into globally integrated equity markets. The study combines the Cross-Quantilogram (CQ) and Multivariate Time-Varying Quantile Regression (MTVQR) frameworks to examine directional predictability and conditional impacts, while controlling for financial uncertainty (VIX) and oil-market conditions (Brent crude oil prices). The CQ results show that EU-ETS futures contain significant predictive information for clean energy returns, with nonlinear, asymmetric dependence concentrated on the tails of the distribution. The MTVQR results further show that the conditional impact of carbon-pricing signals varies across market states and technologies. More mature subsectors, such as solar, wind, and smart grid, respond more strongly in weak and normal markets, while capital-intensive and enabling technologies, including biofuels, geothermal, storage, and fuel cells, exhibit stronger upper-tail or nonlinear responses. The findings highlight EU carbon pricing as a forward-looking transition-risk signal with implications for climate policy, portfolio allocation, and transition-risk management.

• openalex https://doi.org/10.1186/s13021-026-00492-8first seen 2026-08-14 04:55:29