3809. Interactions between the Carbon Credit Market and International Equity Markets: Some Evidence by Causality Tests, VECM Models and Dynamic Volatility Spillovers
Invited abstract in session Selected Aspects of International Finance and OR 1, stream Selected Aspects of International Finance and OR.
Authors (first author is the speaker)
| 1. | Andre Assis de Salles
|
| Polytechnic School, Federal University of Rio de Janeiro | |
| 2. | Renato Barros Lima
|
| Polytechnic School, Federal University of Rio de Janeiro |
Abstract
Economic development, especially that which uses fossil fuels, has led to an increasing concentration of greenhouse gases in the atmosphere and contributes to climate change. The carbon credit markets mitigate this. Once the capital market finances the production, the relationship between these markets should be observed. This study aims to investigate the relationships between these markets. The methodology includes causality and cointegration hypothesis tests, as well as the estimation of VECM and GARCH models. The results provide statistically significant estimates of volatility contagion.
Keywords
- Finance
- Stochastic Models
- Applications, Climate Change
Status: accepted
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