Correlation Between EU Carbon Futures Prices And Fossil Energy Futures Prices

The environmental problems caused by climate change are becoming more and more serious,and governments around the world have attached great importance to them and actively explored solutions.The establishment of a carbon emissions trading market is recognized as the most direct and effective market means to reduce carbon dioxide and other greenhouse gases.The European Union Emissions Trading System(EU-ETS)is the earliest established carbon emissions trading market in the world.With the development of globalization and the vertical influence of upstream and downstream markets,the research on carbon trading market and energy market has become a new topic.In this context,this paper mainly studies the correlation between EU carbon futures prices and fossil energy futures prices to provide reference for policymakers and market participants.First,this paper analyzes in detail the path of mutual conduction between fossil energy prices and carbon prices,and concludes that energy prices affect carbon emissions trading by directly affecting energy consumption and indirectly affecting energy consumption structure,output scale,and energy utilization.carbon price inversely affects energy price by affecting energy consumption structure and energy utilization rate.Secondly,this paper summarizes the development of the EU carbon trading market and the fossil energy market,analyzes the major events in the first three stages of the EU carbon market development and its impact on carbon prices,and summarizes the mechanism characteristics and future development trends of the EU carbon trading market.To provide reference value for my country’s carbon trading market.Finally,this paper selects data from 2015 to 2020 to analyze the correlation between EUA futures prices and Brent crude oil,British natural gas and Rotterdam coal futures prices for three fossil energy sources.The VAR model,the Granger causality test and the impulse response function were used to test the first-order moment mean spillover effect;the DCC-GARCH model was used to test the second-order moment fluctuation spillover effect,and three groups of dynamic correlation coefficients were calculated.The results show that the three fossil energy markets have mean spillover effects on EUA,while EUA only has mean spillover effects on the coal market.From the perspective of volatility spillover effects,EUA has obvious volatility spillover effects with these three fossil energy sources,and the correlation coefficients of the three groups of dynamic conditions are all positive,followed by natural gas,oil and coal.Based on the conclusions of this paper,some suggestions and prospects are put forward for the development of the EU carbon trading market and my country’s carbon market.