The Time-varying Spillover Effects between China’s Carbon Markets and Energy MarketAn Empirical Study based on Spillover Index Model

With the gradual refinement of China’s carbon trading system,it is necessary to systematically analyze the risk spillovers between China's carbon markets and energy markets.Based on spillover index model,the weekly volatilities from April 4,2014 to June 28,2019 were used to calculate the static spillover index and time-varying spillover index between China’s carbon markets and energy markets.The results showed that: there was a two-way spillover effect between China’s carbon markets and energy markets.The characteristics of the spillover effects and the net spillover relationships between diverse carbon markets and energy markets had differences.The spillover index calculated by rolling-window method showed significant time-varying characteristics. The total spillovers between markets showed a significant upward trend during the period of energy markets’ shocks. In general, during the energy markets’ shocks, the risk spillovers received by China ’s carbon markets were siginificant higher than in other periods, but there were certain regional differences in the extent of spillovers transmitted by energy markets in the corresponding period. Based on this, this paper proposes to form an internal stable price mechanism between China's carbon markets and energy markets, improve China's carbon markets’risk monitoring and warning mechanism, and comprehensively consider,then effectively coordinate the differences among various regions when establishing a unified carbon market trading system to promote the stable operation of China’s carbon trading system.