ORIGINAL RESEARCH article
Front. Environ. Sci.
Sec. Environmental Economics and Management
Volume 13 - 2025 | doi: 10.3389/fenvs.2025.1673541
Exploring spillover effects between climate policy uncertainty and carbon trading prices: evidence from China
Provisionally accepted
- 1Dongbei University of Finance and Economics, Dalian, China
- 2Ocean University of China, Qingdao, China
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As China advances its dual carbon targets, the carbon market has become a key policy instrument, yet climate policy uncertainty (CPU) can disrupt expectations and amplify risks in carbon trading prices (CTP). To address this issue, this study constructs a weekly China-specific CPU (CCPU) index using text analysis of domestic newspaper and employs the Quantile Vector Autoregression–Diebold-Yilmaz (QVAR-DY) framework to assess its spillover effects on returns and volatility across six regional carbon markets. The analysis shows that spillovers remain moderate under normal conditions but intensify considerably under extreme states, particularly at higher quantiles, as confirmed by quantile Granger-causality tests. The most striking finding is that spillovers from CCPU to volatility are consistently stronger than to returns, indicating that systemic risk contagion is more pronounced through volatility channels. By integrating a quantile perspective with dynamic spillover analysis, this study reveals the asymmetric transmission of policy uncertainty in China's carbon markets and provides new insights for risk monitoring and policy design in the low-carbon transition.
Keywords: CCPU index, CTP, QVAR-DY, return spillover effects, Volatility spillover effects
Received: 26 Jul 2025; Accepted: 06 Oct 2025.
Copyright: © 2025 Li, Han and Chen. This is an open-access article distributed under the terms of the Creative Commons Attribution License (CC BY). The use, distribution or reproduction in other forums is permitted, provided the original author(s) or licensor are credited and that the original publication in this journal is cited, in accordance with accepted academic practice. No use, distribution or reproduction is permitted which does not comply with these terms.
* Correspondence: Yilin Chen, 825750637@qq.com
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