How Economic Policy Uncertainty Is Associated with Spillover Networks: A TVP-VAR-DY Analysis of Energy and Carbon Markets
経済政策の不確実性がスピルオーバーネットワークとどう関連するか：エネルギー・炭素市場のTVP-VAR-DY分析 (AI 翻訳)
Jiaxue Zhang, Shilong Li
🤖 gxceed AI 要約
日本語
本研究はTVP-VAR-DYコネクテッドネス手法を用い、経済政策不確実性（EPU）とエネルギー市場、広東省パイロット炭素市場の動的相互連関を分析。EPUは金融ストレス時には急速な同期化、実体経済下では持続的な共変動と関連し、市場間で異質性が確認された。炭素市場は政策・規制変化に直接反応する。ネットワーク監視の重要性を示唆。
English
Using a TVP-VAR-DY connectedness framework, this study examines dynamic linkages among economic policy uncertainty (EPU), energy markets, and the Guangdong pilot carbon market. EPU is associated with rapid synchronization during financial stress but persistent co-movement under real-economy conditions, with heterogeneous responses across markets. The carbon market responds directly to policy changes, highlighting the need for network-oriented monitoring.
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
中国の炭素市場とエネルギー市場の連関を分析した研究は、日本のGX実務においても、炭素価格変動がエネルギーコストやサプライチェーンに与える影響を理解する上で参考になる。特に、政策不確実性が市場連関を増幅するメカニズムは、日本のカーボンプライシング導入検討に示唆を与える。
In the global GX context
This study contributes to global understanding of energy-carbon market linkages under policy uncertainty, relevant for carbon pricing design and risk management. The network approach offers insights for monitoring systemic risks in emissions trading systems, applicable to EU ETS and other jurisdictions.
👥 読者別の含意
🔬研究者:Provides empirical evidence on time-varying connectedness between EPU and energy-carbon markets, useful for extending to other regions.
🏢実務担当者:Highlights the importance of monitoring cross-market spillovers for energy procurement and carbon risk management.
🏛政策担当者:Suggests that policy uncertainty can amplify market synchronization, informing the design of carbon market stability mechanisms.
📄 Abstract（原文）
This study uses a TVP-VAR-DY connectedness framework to examine dynamic connectedness among economic policy uncertainty, energy markets, and the Guangdong pilot carbon market. By integrating system-wide connectedness, market-level spillovers, and evolving network structures, the analysis captures the time-varying co-movement across the energy–carbon nexus. At the system level, EPU exhibits a time-varying, regime-dependent association with systemic connectedness. Rather than being uniformly associated with stronger connectedness, heightened uncertainty coincides with rapid synchronization during financial stress, whereas under real economy conditions it is associated with more persistent, expectation-related co-movement. At the market level, clear heterogeneity emerges. Coal displays relatively low sensitivity to uncertainty shocks, oil alternates between net directional roles across regimes, natural gas shows strong sensitivity to uncertainty variation, and the carbon market responds more directly to policy and regulatory changes. From a network perspective, net directional roles and pairwise connectedness pathways vary across uncertainty regimes. The findings suggest that EPU is associated not only with changes in the intensity of connectedness but also with time-varying differences in its distribution across markets, highlighting the relevance of network-oriented monitoring frameworks for energy–carbon market stability.
🔗 Provenance — このレコードを発見したソース
- openalex https://doi.org/10.3390/systems14080961first seen 2026-08-11 04:40:30
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