Extreme risk spillovers across energy and carbon markets: Evidence from the quantile extended joint connectedness approach
结合分位数向量自回归与扩展联合关联方法，研究碳市场、化石能源和清洁能源市场在极端风险下的溢出效应，发现极端事件会加强市场联系，且清洁能源对碳市场的对冲和组合效果存在异质性。
Abstract Extreme events have further complicated the already closely related carbon‐energy system, but little research has focused on the extreme spillovers between energy and carbon markets. This paper combines quantile vector autoregression with the extended joint connectedness approach to introduce a new quantile extended joint connectedness approach to study the extreme spillover between the carbon market, fossil energy and clean energy markets, using daily data spanning from October 15, 2010 to February 25, 2022. The results show that markets are more closely linked at extreme risk, and the spillover is time‐varying and cyclical. The impact of extreme events will strengthen the links between markets. Further research shows different clean energy have heterogeneous spillovers on the carbon market, especially when impacted by extreme events. Finally, the hedging and portfolio effectiveness of clean energy to carbon market also show the existence of heterogeneity, and clean energy can diversify the portfolio of carbon market.