Proceedings of the 2022 2nd International Conference on Economic Development and Business Culture (ICEDBC 2022)

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Analysis of Determinants of Carbon Finance Market Price in China Based on VAR Model

Authors
Yihan Zhou1, 1, *
1School of Finance, Zhongnan University of Economics and Law, Wuhan, 430000, Hubei, China
*Corresponding author. Email: 201921030295@stu.zuel.edu.cn
Corresponding Author
Yihan Zhou
Available Online 31 December 2022.
DOI
10.2991/978-94-6463-036-7_160How to use a DOI?
Keywords
Carbon Finance; Transaction Price; Determinants; VAR Model
ABSTRACT

‘Peak Carbon Dioxide Emission’ and ‘Carbon Neutrality’ are the carbon emission reduction targets set by China to deal with major climate problems caused by the rise of global greenhouse gases. This paper takes carbon finance markets as the research object and selects the daily data of carbon trading prices in Guangdong, Hubei, Shanghai and Shenzhen, four pilot provinces and cities from January 1, 2018 to February 28, 2022, which represent the carbon financial trading market price in China after elimination and weighted average processing. VAR model is used to study the direction and degree of influence of thermal coal, Daqing crude oil, liquefied natural gas, air quality, SSE Industrial index, CSI 300 index and EU carbon quota on China's carbon financial trading market price.

According to the impulse response result, the price of the carbon financial exchange market has the smallest impact on the price of Daqing crude oil spot market, the largest fluctuation effect on its own impact, and the longest response time to the disturbance of air quality index. According to the result of variance decomposition, the contribution degree of each determinant under impact is in the following order from low to high: Eu carbon quota < thermal coal Shenwan industry index < Daqing crude oil spot price < national liquefied natural gas price < CSI 300 index < air quality index < SSE industrial index < carbon financial transaction market price.

Copyright
© 2022 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 2022 2nd International Conference on Economic Development and Business Culture (ICEDBC 2022)
Series
Advances in Economics, Business and Management Research
Publication Date
31 December 2022
ISBN
10.2991/978-94-6463-036-7_160
ISSN
2352-5428
DOI
10.2991/978-94-6463-036-7_160How to use a DOI?
Copyright
© 2022 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Yihan Zhou
PY  - 2022
DA  - 2022/12/31
TI  - Analysis of Determinants of Carbon Finance Market Price in China Based on VAR Model
BT  - Proceedings of the 2022 2nd International Conference on Economic Development and Business Culture (ICEDBC 2022)
PB  - Atlantis Press
SP  - 1085
EP  - 1092
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-036-7_160
DO  - 10.2991/978-94-6463-036-7_160
ID  - Zhou2022
ER  -