Multifractal Dynamics and Spillover Effects Between China’s Carbon and Energy Markets Under Policy Shocks
政策ショック下における中国の炭素市場とエネルギー市場間のマルチフラクタルダイナミクスと波及効果 (AI 翻訳)
Tian Zhang, Shaohui Zou
🤖 gxceed AI 要約
日本語
本研究は2021年7月から2026年1月までの中国の炭素市場とエネルギー市場（石炭、電力、新エネルギー）を対象に、政策介入が市場間のボラティリティ波及と動的相関に与える影響を分析。GARCH-DCCモデルとローリングウィンドウMF-DCCAを用いて、政策ショックが短期的な市場連関を増幅し、石炭市場に「グリーンスクイーズ」効果を及ぼすことを発見。炭素市場と各エネルギー市場の転換点は約5.58～6.96ヶ月であることを示した。
English
This study analyzes China's carbon and energy markets (coal, electricity, new energy) from July 2021 to January 2026, examining how policy interventions affect volatility spillovers and dynamic correlations. Using GARCH-DCC and rolling-window MF-DCCA, it finds that policy shocks amplify short-term contagion, exert a 'green-squeezing' effect on coal, and identifies turning points between carbon and energy markets at approximately 5.58–6.96 months. These insights aid policymakers in designing differentiated energy regulations and investors in multiscale risk management.
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
本論文は中国の炭素市場に焦点を当てているが、日本のGX政策（例えば、排出量取引制度の本格導入やカーボンプライシングの検討）において、市場間の連関や政策ショックの影響を理解する上で参考となる。特に、政策介入が市場の短期的な変動を増幅し、特定のエネルギー源に「グリーンスクイーズ」を引き起こす可能性は、日本が同様の制度を設計する際に考慮すべき点である。
In the global GX context
While focused on China, this paper contributes to the global understanding of carbon-energy market linkages under policy shocks. It demonstrates how policy interventions can amplify short-term market contagion and create asymmetric effects on different energy sources (e.g., coal). This is relevant for any jurisdiction implementing or refining an emissions trading system, as it highlights the need for differentiated policy designs and multiscale risk management.
👥 読者別の含意
🔬研究者:Provides empirical evidence on multifractal cross-market dynamics and policy shock transmission in carbon and energy markets.
🏛政策担当者:Offers insights for designing carbon market policies that account for spillover effects and potential green-squeezing on fossil fuels.
📄 Abstract（原文）
Understanding the multifractal dynamics of carbon and energy markets is essential for capturing complex cross-market interactions and policy-induced volatility. This study investigates China’s carbon and energy markets from 16 July 2021 to 30 January 2026, integrating macro policy interventions with nonlinear market evolution. We first employ a Generalized Autoregressive Conditional Heteroskedasticity-Dynamic Conditional Correlation (GARCH-DCC) model with exogenous policy variables to quantify volatility spillovers and dynamic correlations under policy shocks. Then, a rolling-window multifractal detrended cross-correlation analysis (MF-DCCA) is applied to reveal multiscale dependencies, characteristic periods, and complex fractal structures in cross-market linkages. The results indicate: (1) pronounced spillover effects exist among carbon and energy markets, with policy interventions amplifying short-term contagion; (2) policy shocks exert a “green-squeezing” effect, particularly in the coal market, while endogenous volatility structures exhibit long-term resilience; (3) cross-market linkages display multifractal characteristics, with turning points between the carbon market and electricity, new energy, and coal markets at approximately 6.28, 5.58, and 6.96 months, respectively. These findings provide insights for policymakers in designing differentiated energy regulations and for investors in multiscale risk management and asset allocation.
🔗 Provenance — このレコードを発見したソース
- openalex https://doi.org/10.3390/fractalfract10050326first seen 2026-05-17 07:20:54 · last seen 2026-05-20 05:16:22
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