Korea Trade Review (무역학회지)

Korea Trade Research Association (한국무역학회)
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An Analysis of Dynamic Conditional Correlation among International Carbon Emission Trading Prices

국제 탄소배출권 가격의 동태적 조건부 상관관계 분석

  • Dan-Dan Luo (Department of International Trade, Dongguk University) ;
  • Yin-Hua Li (Department of International Trade, Dongguk University)
  • 나단단 (동국대학교 국제통상학과) ;
  • 이은화 (동국대학교 국제통상학과)
  • Received : 2022.01.15
  • Accepted : 2022.02.26
  • Published : 2022.02.28
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Abstract

This paper analyzed the dynamic conditional correlation between the carbon emission trading prices of Korea, China, EU, New Zealand. This paper was analyzed using the daily data of carbon emission trading prices of each country from January 12, 2015 to January 13, 2021 using the DCC-GARCH model. Summarizing the research results, first, the dynamic conditional correlation between carbon emission trading prices in the EU, Korea, and China, excluding New Zealand, was strong, indicating that there was a co-movement phenomenon. Second, it was found that carbon emission trading prices in major countries have a stronger tendency to co-movement due to global shocks. Third, it appears that the dynamic conditional correlation between the carbon emission trading prices of Korea and China is gradually strengthening. This study confirmed that the co-movement between carbon emission trading prices in Korea and other countries gradually intensified as time passed. In particular, it is meaningful in suggesting the implication that the phenomenon of co-movement between carbon emission trading prices in Korea and China is gradually intensifying.

Keywords

References

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