Study On The Impact Of Multiple Uncertainties On The Carbon Emissions Trading Market

With the increasing financialization of the carbon emissions trading(CET)market,more investors,regulators,and researchers have started to pay attention to the development of this market.The literature focuses on the relationship between the CET market and other markets and the factors influencing the price of carbon allowances,while the paper on the impact of multiple uncertainties on the CET market is insufficient.The current international economic and political landscape is complex and volatile,the global economy is in the doldrums,economic globalization is experiencing headwinds,the competitive market environment is becoming increasingly complex,climate issues are becoming more serious,and geopolitical events are frequent,and other uncertainties have led to profound and complex changes in the external environment of the carbon emissions trading market,and the development and stability of the carbon emissions trading market are severely challenged.In this context,exploring how multiple uncertainties affect the carbon emissions trading market and its possible transmission channels has become a pressing issue for academics and practitioners to understand.This dissertation takes the EU carbon emissions trading market as the research object and selects four perspectives of uncertainty,such as economic,market,climate,and geopolitical,to explore its impact on this market in conjunction with the literature on the carbon emissions trading market.The asymmetric and lagged effects of multivariate uncertainty on the carbon emissions trading market under different market conditions are also analyzed using models such as the NARDL model and quantile,and the moderating effects of other factors are considered on this basis.The main research contents and conclusions are as followsFirst,this dissertation uses oil shocks to characterize economic uncertainty and explore the asymmetric effects of oil shocks on carbon allowance prices in the long and short run,and further investigate the differences in the relationships between the variables when the EU carbon emissions trading market is at different phases.The empirical results show that different oil shocks have long-run and symmetric effects on carbon allowance prices but have asymmetric effects in the short run.Oil supply shocks have a positive effect on carbon allowance prices,while oil demand and risk shocks have a negative effect on carbon allowance prices.When the EU carbon emissions trading market is in the second phase(2008-2012),oil shocks have a long-term symmetric effect on carbon allowance prices,while oil supply and demand shocks have an asymmetric effect on carbon allowance prices in the short run while oil risk shocks cause a symmetric effect.Oil risk shocks have a positive effect on carbon allowance prices,while oil supply shocks and demand shocks have a negative effect on carbon allowance prices.When the EU carbon emissions trading market is in the third phase(2013-2020),only oil demand shocks have a long-term symmetric and short-term asymmetric effect on carbon allowance prices.This indicates that oil demand plays a dominant role in this phase.Second,this dissertation uses investor attention to the CET market to portray market uncertainty and explores the impact of carbon market attention on the CET market under different market conditions to further investigate the lagged effect in the relationship between the variables.The empirical results show that carbon market attention has a significant negative effect on carbon allowance returns under bullish market conditions,and the strength of the effect gradually increases with increasing quantile.In the lagged effect test,we find that carbon market attention has a significant positive effect on carbon allowance returns in the current period and a significant negative effect in the lagged period.This is consistent with the results of studies exploring investor attention and stock returns,demonstrating that the CET market has a reversal effect similar to that of stock markets.Subsequently,this dissertation uses climate policy uncertainty to portray climate uncertainty and investigates the impact of climate policy uncertainty on the CET market under different market conditions to further explore the asymmetric impact among variables and explore the moderating role played by carbon market attention among variables.The empirical results show that climate policy uncertainty has a significant negative effect on carbon allowance returns under bullish market conditions,and the intensity of the effect increases gradually with the increase of the quantile.When exploring the asymmetric impact of climate policy uncertainty,we find that positive climate policy uncertainty has a significant negative impact on carbon allowance returns under bullish market conditions,and the intensity of the impact gradually increases with the increase of quantile.Negative climate policy uncertainty fails to show a significant effect on carbon allowance returns.It also shows significant asymmetry only under extremely bullish market conditions.When exploring the moderating role of carbon market attention,we find that carbon market attention does not play a moderating role between climate policy uncertainty and carbon allowance returns.However,it plays a moderating role between positive climate policy uncertainty and carbon allowance returns to mitigate the negative effect between variables.In contrast,the negative effect between climate policy uncertainty and carbon allowance returns is enhanced.Finally,this dissertation uses geopolitical risk to portray geopolitical uncertainty and investigates the impact of geopolitical risk on the CET market under different market conditions,and further investigates the lagged effects between different categories of geopolitical risk and carbon allowance returns.We find that geopolitical behavioral risk has a significant negative effect on carbon allowance returns,and this effect is stronger under bullish market conditions.Geopolitical risk has a significant negative effect on carbon allowance returns under bullish market conditions.Geopolitical threat risk has a nonsignificant effect on carbon allowance returns.In the lagged response study,we find that geopolitical behavior risk has a significant negative impact on carbon allowance returns mainly in the lag 2 periods.The impact of geopolitical risk is also mainly concentrated in the lag 2 periods but only shows a significant impact at some sub-locations.The effect of geopolitical threat risk is relatively lagged compared to the first two geopolitical risks and shows a positive and significant effect.54 figures,38 tables,316 references...