TY - JOUR
T1 - Do weather conditions drive China's carbon-coal-electricity markets systemic risk? A multi-timescale analysis
AU - Zhao, Yi
AU - Dai, Xingyu
AU - Zhang, Dongna
AU - Wang, Qunwei
AU - Cao, Yaru
N1 - Funding information: This research is financially supported by the National Social Science Foundation of China (Grant No. 21&ZD110) and Postgraduate Research & Practice Innovation Program of Jiangsu Province (No. KYCX21_0237).
PY - 2023/1/1
Y1 - 2023/1/1
N2 - This paper uses the wavelet coherency method to reveal the timescale-varying driving mechanism of 12 different types of weather conditions data on risk measures of China's Carbon-Coal-Electricity (CCE) system. First, we find that temperature may be a major factor influencing the co-movement pattern of China's CCE system on a long-term timescale, but cannot affect information spillover pattern of the CCE system. Second, snowfall, cloud, and wind levels could influence the long-term variation of the CCE system's risk measurement. Third, none of the selected weather condition indicators could influence the short- and medium-run CCE systemic risk.
AB - This paper uses the wavelet coherency method to reveal the timescale-varying driving mechanism of 12 different types of weather conditions data on risk measures of China's Carbon-Coal-Electricity (CCE) system. First, we find that temperature may be a major factor influencing the co-movement pattern of China's CCE system on a long-term timescale, but cannot affect information spillover pattern of the CCE system. Second, snowfall, cloud, and wind levels could influence the long-term variation of the CCE system's risk measurement. Third, none of the selected weather condition indicators could influence the short- and medium-run CCE systemic risk.
KW - Carbon-coal-electricity markets system
KW - Weather conditions
KW - Multi-timescale analysis
KW - Wavelet coherency
KW - Dynamic equicorrelatioin
UR - https://www.scopus.com/pages/publications/85140371304
U2 - 10.1016/j.frl.2022.103432
DO - 10.1016/j.frl.2022.103432
M3 - Article
SN - 1544-6123
VL - 51
JO - Finance Research Letters
JF - Finance Research Letters
M1 - 103432
ER -