The Time-Varying Spillover Effects between China’s Carbon Markets and Energy Market: Evidence Using the TVP-DY Index Model

This paper proposes an integrated TVP-VAR model to investigate the volatility spillover mechanisms among different financial markets as well their respective roles in global transmission system, including China’s carbon market, crude oil, new energy, energy automobile, coal and natural gas markets, which is named market. Utilizing time-varying indices (TVP-DY), we find that there are obvious dynamic effects between sensitivity of regional varies. In addition, market mainly affected by price fluctuations traditional fossil but can play effective role hedging risks. Moreover, have a fragile Cycle Spillover Network style, thus it necessary demonstrate complex risk mechanism them.