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Extreme linkages of carbon futures, energy markets, and economic indicators: A copula approach
Journal article   Peer reviewed

Extreme linkages of carbon futures, energy markets, and economic indicators: A copula approach

Nader Trabelsi, Aviral Kumar Tiwari, Shawkat Hammoudeh and Noureddine Benlagha
23 Jan 2023
DOI: https://doi.org/10.1080/15567249.2023.2165738
Featured in Collection :   UN Sustainable Development Goals @ Drexel

Abstract

Carbon emission allowances economic indicators energy markets quantile-on-quantile spillovers time-varying copula
The interdependence of carbon allowances and different energy sources in extreme market behavior is still unsettled in the literature. Using different types of static and time-varying copulas, this piece of research aims to quantify the dependence structures of Europe-based carbon future returns and selected energy future returns (i.e. coal, electricity, oil, and natural gas), and to investigate whether or not these dependence structures are influenced by economic indicators. Our results show strong evidence that time-varying parameter copulas with extreme tails are the best fit to the dependence structure. We also find that the speculation activity and the uncertainty of the state of the global economy are two important components of this robust dependence structure in the period of oil price crises. These findings are relevant for the implementation of effective policies to make the carbon market operate more efficiently and stably.

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7 Record Views
5 citations in Web of Science
5 citations in Scopus

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UN Sustainable Development Goals (SDGs)

This publication has contributed to the advancement of the following goals:

#13 Climate Action

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Collaboration types
Domestic collaboration
International collaboration
Web of Science research areas
Energy & Fuels
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