Quantile Connectedness Between Carbon Emission Allowances and Commodity Futures Markets: Evidence from China
炭素排出枠と商品先物市場の分位連結性：中国からのエビデンス (AI 翻訳)
Z K Zhang, Jing Zhu
🤖 gxceed AI 要約
日本語
本論文は、中国の全国炭素排出枠（CEA）市場と20の代表的な商品先物との間の状態依存的なリターン連結性を分析。分位ベクトル自己回帰（QVAR）、周波数分解、ウェーブレットコヒーレンスなどの手法を用い、CEAは通常時は商品システムから切り離されているが、裾野ではネット受信者として引き込まれることを発見。炭素市場規制とクロス市場ヘッジに示唆を与える。
English
This paper examines state-dependent return connectedness between China's national carbon emission allowance (CEA) market and 20 commodity futures using quantile VAR, frequency decomposition, and wavelet coherence. Findings show CEA is largely decoupled under normal conditions but becomes a net receiver at tails, with implications for carbon market regulation and cross-market hedging.
Unofficial AI-generated summary based on the public title and abstract. Not an official translation.
📝 gxceed 編集解説 — Why this matters
日本のGX文脈において
中国の全国炭素市場は2021年7月に始まり、日本の排出量取引制度（J-ETS）や東京都のキャップ＆トレードとは異なる設計である。本論文の分析手法は、日本で進む自主的炭素市場の価格形成や他市場との連動性を評価する際にも応用可能であり、SSBJ開示項目である炭素価格リスクの定量評価に役立つ示唆を含む。
In the global GX context
China's national carbon market, launched in 2021, is a key pillar of its climate policy. This study's quantile connectedness framework offers a novel approach to understanding carbon price dynamics under different market conditions, relevant for global discussions on carbon market design and cross-commodity hedging strategies. The findings on tail dependence are particularly insightful for risk management in emission-intensive industries.
👥 読者別の含意
🔬研究者:Provides a rigorous empirical framework using QVAR and wavelet methods to analyze carbon price connectedness, valuable for future work on carbon market linkages.
🏢実務担当者:Insights into CEA price behavior under stress can inform hedging strategies for commodity firms exposed to carbon costs.
🏛政策担当者:Highlights the role of policy expectations in driving carbon price spikes, emphasizing the need for transparent communication and market stability mechanisms.
📄 Abstract（原文）
Carbon pricing is central to China’s low-carbon transition, and its effectiveness is tied to the carbon market’s links with commodities. This paper examines state-dependent return connectedness between China’s national carbon emission allowance (CEA) market and 20 representative commodity futures. Using daily data from July 2021 to February 2026, we combined quantile vector autoregression (QVAR) connectedness, the Baruník–Křehlík frequency decomposition, and wavelet-based coherence and quantile-based correlation methods to characterize return transmission across market states and frequencies. We obtained four findings. First, total connectedness is almost identical at the lower and upper tails (around 92%) and far higher than at the median (around 59%)—tail symmetry with median heterogeneity—and is dominated by the short-term band. Second, the CEA is largely decoupled from the commodity system under normal conditions and is drawn in only at the tails as a net receiver. Third, the two tails exhibit distinct event contexts, with downside episodes associated with external financial shocks and upside episodes associated with domestic policy expectations. Fourth, the CEA tends to precede high-emission commodities at long horizons. These results suggest that institutional and policy factors continue to play an important role in shaping CEA price dynamics, with implications for carbon market regulation and cross-market hedging.
🔗 Provenance — このレコードを発見したソース
- openalex https://doi.org/10.3390/su18136793first seen 2026-07-05 05:14:36
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