Study on the Fluctuation Spillover Effect between China's Carbon Market and New Energy Market

Abstract

This project analyzes the volatility spillover effect of China's carbon market and new energy market, which is crucial to effectively prevent Systematic risk, promote low-carbon transformation of the energy market and ensure stable economic growth. Firstly, based on the spillover index model, we examine the dynamic interdependence between China's carbon market and the new energy market; Secondly, in order to capture market asymmetry, this project decomposes the total volatility into good volatility and bad volatility based on the GJR-GARCH model, and further explores the asymmetric spillover effects between these two types of markets. Finally, the marginal net spillover index (MNS) method is used to explore the main sources and paths of risk transmission in China's carbon market and new energy market under the impact of major events such as the China–United States trade war, the COVID-19 and the Russia-Ukraine conflict. Therefore, this project has important practical significance in promoting the establishment of a national carbon market, low-carbon transformation of the energy system, and improving macro risk prevention measures.