Data for: Risk spillovers across the energy and carbon markets and hedging strategies for carbon risk

Abstract of associated article: This study examines the risk spillovers between energy futures prices and Europe-based carbon futures contracts. We use a Markov regime-switching dynamic correlation, generalized autoregressive conditional heteroscedasticity (MS-DCC-GARCH) model in order to capture the time variations and structural breaks in the spillovers. We further evaluate the optimal weights, hedging effectiveness, and dynamic hedging strategies for the MS-DCC-GARCH model based on both the regime-dependent and regime-independent optimal hedge ratios. We finally complement our analysis by examining the in- and out-of sample hedging performances for alternative strategies. Our results mainly show significant volatility and time-varying risk transmission from energy markets to carbon market. We also find that spot and futures segments of the emission markets exhibit time-varying correlations and volatile hedging effectiveness. The subsample estimates show significant changes in the hedge effectiveness over the different phases of the European carbon market. These results have important investment and policy implications.关联文章摘要：本研究探讨能源期货价格与欧洲碳期货合约之间的风险溢出效应。我们采用马尔可夫区制转换动态相关广义自回归条件异方差（Markov regime-switching dynamic correlation generalized autoregressive conditional heteroscedasticity，MS-DCC-GARCH）模型，以捕捉溢出效应中的时变特征与结构断点。进一步基于区制依赖型与区制独立型两类最优对冲比率，评估该模型的最优配置权重、对冲有效性及动态对冲策略。最后，通过检验不同策略的样本内与样本外对冲表现，对本研究的分析进行补充完善。研究结果主要表明，能源市场向碳市场存在显著的波动性与时变风险传导效应。我们还发现，排放市场的现货与期货板块呈现出时变相关性，且对冲有效性存在波动。子样本估计结果显示，在欧洲碳市场的不同发展阶段，对冲有效性发生了显著变化。上述研究结果具有重要的投资与政策启示价值。