dc.description.abstract | We analyzed the information spillover between carbon allowances, industries within the
European Union Emissions Trading System, and global energy commodities from July 3,
2017, to February 1, 2024, using a generalized vector autoregression framework proposed by
Diebold and Yilmaz (2012, 2014). Our findings suggest that carbon prices were primarily
the recipients of shocks originating from other assets, with the Chemical index being the
main driver in both the returns and volatility spillovers. The COVID-19 pandemic and the
ongoing Russia-Ukraine war significantly influenced the interconnectedness of the assets in
this study. | |