Asymmetric time-varying dependence and variable structure dependence measurement and analysis of EUA and CER

Abstract This paper analyzed the time-varying dependence and structural between EU allowances (EUAs) certified emission reductions (CERs) by using price fluctuation data from 2008 to 2021 on ETS. It was found that (1) there a strong nonlinear spillover relationship EUAs CERs. From 14 March 16 2012, values of CERs were mostly 0.6 1 mean coefficient 0.86, showing interdependence. 17 2012 2 January 2017, correlation them below fell 0.25. indicates dependency EUA futures CER very low at this stage. However, in general, value above 0.55, is, them. (2) 12 mutation points yield sequences. After four points, increased enhanced. Meanwhile, after eight decreased weakened. The overall level remained 0.6, existence dependence. (3) Abrupt changes prices closely related promulgation major policies unpredictable emergencies. former caused carbon fluctuate slightly. When period change short recovery rapid, it sharp fluctuations prices. duration long, slow, yielded impacts extend far beyond publication important information.