SpringerLink
Log in

The dynamic risk spillover effects among carbon, renewable energy, and electricity markets based on the TVP-VAR-DY model

  • Research Article
  • Published:
Environmental Science and Pollution Research Aims and scope Submit manuscript

Abstract

The linkages among carbon, renewable energy, and electricity markets are gradually strengthening. In order to prevent risk transmission among markets, this paper uses the TVP-VAR-DY (Time-Varying Parameter–Vector Auto Regression–Dynamic) model to analyze the dynamic risk spillover effects and network structure of risk transmission among carbon, renewable energy, and electricity markets. The empirical results show that there are significant asymmetric spillover effects among carbon, renewable energy, and electricity markets. The total spillover index shows that spillover effects among carbon, renewable energy, and electricity markets are time-varying, especially during unexpected events. Besides, the net spillover index indicates that the spillover effects are bidirectional, asymmetric, and time-varying. Finally, under the influence of unexpected events, the network structures of risk transmission among carbon, renewable energy, and electricity markets are heterogeneous. Compared to the Russia-Ukraine conflict, the COVID-19 pandemic has a more significant impact on these markets.

This is a preview of subscription content, log in via an institution to check access.

Access this article

Log in via an institution

Subscribe and save

Springer+ Basic
EUR 32.99 /Month
  • Get 10 units per month
  • Download Article/Chapter or Ebook
  • 1 Unit = 1 Article or 1 Chapter
  • Cancel anytime
Subscribe now

Buy Now

Price excludes VAT (USA)
Tax calculation will be finalised during checkout.

Instant access to the full article PDF.

Institutional subscriptions

Fig. 1
Fig. 2
Fig. 3
Fig. 4
Fig. 5
Fig. 6
Fig. 7

Similar content being viewed by others

References

  • Anscombe FJ, Glynn WJ (1983) Distribution of the kurtosis statistic b 2 for normal samples. Biometrika 70(1):227–234

    Google Scholar 

  • Antonakakis N, Gabauer D, Gupta R (2019) International monetary policy spillovers: evidence from a time-varying parameter vector autoregression. Int Rev Financial Anal 65:101382

    Article  Google Scholar 

  • Bai J, Li S, Kang Q, Wang N, Guo K, Wang J, Cheng J (2022) Spatial spillover effects of renewable energy on carbon emissions in less-developed areas of China. Environ Sci Pollut Res 29:19019–19032

    Article  CAS  Google Scholar 

  • Bento PMR, Mariano SJPS, Calado MRA, Pombo JAN (2021) Impacts of the COVID-19 pandemic on electric energy load and pricing in the Iberian electricity market. Energy Rep 7:4833–4849

    Article  Google Scholar 

  • Biresselioglu ME, Kilinc D, Onater-Isberk E, Yelkenci T (2016) Estimating the political, economic and environmental factors’ impact on the installed wind capacity development: a system GMM approach. Renew Energ 96:636–644

    Article  Google Scholar 

  • Chen J, Tongurai, (2022) Informational linkage and price discovery between China’s futures and spot markets: evidence from the US–China trade dispute. Glob Finance J 55:100750

    Article  Google Scholar 

  • D’Agostino RB (1970) Transformation to normality of the null distribution of g1. Biometrika 57(3):679–681

    Google Scholar 

  • Ding Q, Huang J, Zhang H (2022) Time-frequency spillovers among carbon, fossil energy and clean energy markets: the effects of attention to climate change. Int Rev Financial Anal 83:102222

    Article  Google Scholar 

  • Ellabban O, Abu-Rub H, Blaabjerg F (2014) Renewable energy resources: current status, future prospects and their enabling technology. Renew Sust Energ Rev 39:748–764

    Article  Google Scholar 

  • Gao Q, Zeng H, Sun G, Li J (2023) Extreme risk spillover from uncertainty to carbon markets in China and the EU—a time varying copula approach. J Environ Manage 326:116634

    Article  Google Scholar 

  • Ha LT (2023) An application of QVAR dynamic connectedness between geopolitical risk and renewable energy volatility during the COVID-19 pandemic and Russia-Ukraine conflicts. J Environ Manage 342:118290–118290

    Article  Google Scholar 

  • Habiba U, **nbang C, Ahmad RI (2021) The influence of stock market and financial institution development on carbon emissions with the importance of renewable energy consumption and foreign direct investment in G20 countries. Environ Sci Pollut Res 28:67677–67688

    Article  Google Scholar 

  • Hammoudeh S, Lahiani A, Nguyen DK, Sousa RM (2015) An empirical analysis of energy cost pass-through to CO2 emission prices. Energy Econ 49:149–156

    Article  Google Scholar 

  • Han L, Zhou Z, Shi B, Wang Y (2024) Challenges to environmental governance arising from the Russo-Ukrainian conflict: evidence from carbon emissions. J Environ Manage 349:119481

    Article  CAS  Google Scholar 

  • Hanif W, Hernandez JA, Mensi W, Kang SH, Uddin GS, Yoon SM (2021) Nonlinear dependence and connectedness between clean/renewable energy sector equity and European emission allowance prices. Energy Econ 101:105409

    Article  Google Scholar 

  • Haxhimusa A, Liebensteiner M (2021) Effects of electricity demand reductions under a carbon pricing regime on emissions: lessons from COVID-19. Energy Policy 156:112392

    Article  CAS  Google Scholar 

  • Hu J, Pan X, Huang Q (2020) Quantity or quality? The impacts of environmental regulation on firms’ innovation–Quasi-natural experiment based on China’s carbon emissions trading pilot. Technol Forecast Soc Change 158:120122

    Article  Google Scholar 

  • Jareño F, González MDLO, López R, Ramos AR (2021) Cryptocurrencies and oil price shocks: a NARDL analysis in the COVID-19 pandemic. Resour Policy 74:102281

    Article  Google Scholar 

  • Jarque CM, Bera AK (1980) Efficient tests for normality, homoscedasticity and serial independence of regression residuals. Econ Lett 6(3):255–259

    Article  Google Scholar 

  • Ji Q, **a T, Liu F, Xu JH (2019) The information spillover between carbon price and power sector returns: evidence from the major European electricity companies. J Clean Prod 208:1178–1187

    Article  Google Scholar 

  • Jia Z, Lin B (2020) Rethinking the choice of carbon tax and carbon trading in China. Technol Forecast Soc Change Change 159:120187

    Article  Google Scholar 

  • Jiang W, Dong L, Liu X (2023) How does COVID-19 affect the spillover effects of green finance, carbon markets, and renewable/non-renewable energy markets? Evid China Energy 281:128351

    Google Scholar 

  • Kim KT, Lee DJ, An D (2022) Real option valuation of the R&D investment in renewable energy considering the effects of the carbon emission trading market: a Korean case. Energies 13(3):622

    Article  Google Scholar 

  • Koop G, Korobilis D (2014) A new index of financial conditions. Eur Econ Rev 71:101–116

    Article  Google Scholar 

  • Kumar S, Managi S, Matsuda A (2012) Stock prices of clean energy firms, oil and carbon markets: a vector autoregressive analysis. Energy Econ 34(1):215–226

    Article  Google Scholar 

  • Li H, Li Y, Zhang H (2023) The spillover effects among the traditional energy markets, metal markets and sub-sector clean energy markets. Energy 275:127384

    Article  Google Scholar 

  • Lin BQ, Du KR (2015) Measuring energy rebound effect in the Chinese economy: an economic accounting approach. Energy Econ 50:96–104

    Article  Google Scholar 

  • Liu X (2022) Research on bidding strategy of virtual power plant considering carbon-electricity integrated market mechanism. Int J Electr Power Energy Syst 137:107891

    Article  Google Scholar 

  • Liu Y, Yang X, Wang M (2021) Global transmission of returns among financial, traditional energy, renewable energy and carbon markets: new evidence. Energies 14(21):7286

    Article  CAS  Google Scholar 

  • Liu J, Man Y, Dong X (2023) Tail dependence and risk spillover effects between China’s carbon market and energy markets. Int Rev Econ Finance 84:553–567

    Article  Google Scholar 

  • Ma R, Liu Z, Zhai P (2022) Does economic policy uncertainty drive volatility spillovers in electricity markets: time and frequency evidence. Energy Econ 107:105848

    Article  Google Scholar 

  • Mai TK, Foley AM, McAleer M, Chang CL (2022) Impact of COVID-19 on returns-volatility spillovers in national and regional carbon markets in China. Renew Sust Energ Rev 168:112861

    Article  Google Scholar 

  • Maneejuk P, Kaewtathip N, Yamaka W (2024) The influence of the Ukraine-Russia conflict on renewable and fossil energy price cycles. Energy Econ 129:107218

    Article  Google Scholar 

  • Naeem MA, Peng Z, Suleman MT, Nepal R, Shahzad SJ (2020) Time and frequency connectedness among oil shocks, electricity and clean energy markets. Energy Econ 91:104914

    Article  Google Scholar 

  • Ouyang X, Lin B (2014) Levelized cost of electricity (LCOE) of renewable energies and required subsidies in China. Energy Policy 70:64–73

    Article  Google Scholar 

  • Pesaran HH, Shin Y (1998) Generalized impulse response analysis in linear multivariate models. Econ Lett 58(1):17–29

    Article  Google Scholar 

  • Qiao S, Dang YJ, Ren ZY, Zhang KQ (2023a) The dynamic spillovers among carbon, fossil energy and electricity markets based on a TVP-VAR-SV method. Energy 266:126344

    Article  CAS  Google Scholar 

  • Qiao S, Guo ZX, Tao Z, Ren ZY (2023b) Analyzing the network structure of risk transmission among renewable, non-renewable energy and carbon markets. Renew Energ 209:206–217

    Article  Google Scholar 

  • Rabe M, Streimikiene D, Bilan Y (2019) EU carbon emissions market development and its impact on penetration of renewables in the power sector. Energies 12(15):2961

    Article  CAS  Google Scholar 

  • Reboredo JC, Ugolini A (2018) The impact of energy prices on clean energy stock prices. A multivariate quantile dependence approach. Energy Econ 76:136–152

    Article  Google Scholar 

  • Su X, Li Y (2020) Dynamic sentiment spillovers among crude oil, gold, and Bitcoin markets: evidence from time and frequency domain analyses. PLoS ONE 15(12):e0242515

    Article  CAS  Google Scholar 

  • Su CW, Pang LD, Qin M, Lobonţ OR, Umar M (2023) The spillover effects among fossil fuel, renewables and carbon markets: evidence under the dual dilemma of climate change and energy crises. Energy 274:127304

    Article  Google Scholar 

  • Tang J, Ren ZY, Chen HH, Qiao S (2024) Multidimensional risk spillover among power, coal, and carbon markets: empirical evidence from China. Environ Sci Pollut Res 31(1):1244–1259

    Article  Google Scholar 

  • Tian Y, Akimov A, Roca E, Wong V (2016) Does the carbon market help or hurt the stock price of electricity companies? Further evidence from the European context. J Clean Prod 112:1619–1626

    Article  Google Scholar 

  • Tiwari AK, Abakah EJA, Gabauer D, Dwumfour RA (2022) Dynamic spillover effects among green bond, renewable energy stocks and carbon markets during COVID-19 pandemic: implications for hedging and investments strategies. Glob Finance J 51:100692

    Article  Google Scholar 

  • Wang P, Tang J, Zhang Z, Li Y, Wu H, Ji C, Lin Z, Ma J, Qi H, Zhang W, Yang L (2022) Bidding strategy optimization for power generation company in carbon emission rights and electricity market. Energy Rep 8:325–331

    Article  Google Scholar 

  • Wild P, Bell WP, Foster J (2015) Impact of carbon prices on wholesale electricity prices and carbon pass-through rates in the Australian national electricity market. Energy 36(3):137–154

    Google Scholar 

  • Wu X, Jiang Z (2023) Time-varying asymmetric volatility spillovers among China’s carbon markets, new energy market and stock market under the shocks of major events. Energy Econ 126:107004

    Article  Google Scholar 

  • Zhang H, Zhang Y, Gao W, Li Y (2023a) Extreme quantile spillovers and drivers among clean energy, electricity and energy metals markets. Int Rev Financial Anal 86:102474

    Article  Google Scholar 

  • Zhang L, Baloch ZA, Niu G (2023b) Effects of COVID-19 on green bonds, renewable power stocks, and carbon markets: a dynamic spillover analysis. Renew Energ 216:118900

    Article  Google Scholar 

  • Zhang Y, Umair M (2023) Examining the interconnectedness of green finance: an analysis of dynamic spillover effects among green bonds, renewable energy, and carbon markets. Environ Sci Pollut Res 30:77605–77621

    Article  Google Scholar 

  • Zhao Y, Zhou Z, Zhang K, Huo Y, Sun D, Zhao H, Sun J, Guo S (2023) Research on spillover effect between carbon market and electricity market: evidence from Northern Europe. Energy 263:126107

    Article  Google Scholar 

  • Zhu B, Huang L, Yuan L, Ye S, Wang P (2020) Exploring the risk spillover effects between carbon market and electricity market: a bidimensional empirical mode decomposition based conditional value at risk approach. Int Rev Econ Finance 67:163–175

    Article  Google Scholar 

Download references

Funding

Hong thanks the National Social Science Foundation of China (No. 23BJY094).

Author information

Authors and Affiliations

  1. School of Economics and Management, China University of Geosciences, Wuhan, 430070, China

    Yimin Luo, Shuifeng Hong & Fengtao Guang

Authors
  1. Yimin Luo
    View author publications

    You can also search for this author in PubMed Google Scholar

  2. Shuifeng Hong
    View author publications

    You can also search for this author in PubMed Google Scholar

  3. Fengtao Guang
    View author publications

    You can also search for this author in PubMed Google Scholar

Contributions

Yimin Luo, Shuifeng Hong, and Fengtao Guang contributed equally to the work.

Corresponding author

Correspondence to Shuifeng Hong.

Ethics declarations

Ethics approval

Not applicable.

Consent to participate

Not applicable

Consent for publication

Not applicable

Competing interests

The authors declare no competing interests.

Additional information

Responsible Editor: Eyup Dogan

Publisher's Note

Springer Nature remains neutral with regard to jurisdictional claims in published maps and institutional affiliations.

Rights and permissions

Springer Nature or its licensor (e.g. a society or other partner) holds exclusive rights to this article under a publishing agreement with the author(s) or other rightsholder(s); author self-archiving of the accepted manuscript version of this article is solely governed by the terms of such publishing agreement and applicable law.

Reprints and permissions

About this article

Check for updates. Verify currency and authenticity via CrossMark

Cite this article

Luo, Y., Hong, S. & Guang, F. The dynamic risk spillover effects among carbon, renewable energy, and electricity markets based on the TVP-VAR-DY model. Environ Sci Pollut Res 31, 30099–30111 (2024). https://doi.org/10.1007/s11356-024-33156-6

Download citation

  • Received:

  • Accepted:

  • Published:

  • Issue Date:

  • DOI: https://doi.org/10.1007/s11356-024-33156-6

Keywords

Search

Navigation