Economic Policy Uncertainty and Local Carbon Emission Trading: A Multifractal Analysis from US and Guangdong

This paper investigates the long-term dynamic cross-correlation evolution between US economic policy uncertainty index (USEPU) and Guangdong carbon emission trading price (GDCP) from the multifractal detrended cross-correlation analysis (MF-DCCA) perspective. With the calculation of correlation stat...

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Bibliographic Details
Published inComplexity (New York, N.Y.) Vol. 2021; no. 1
Main Author Zhao, Ruwei
Format Journal Article
LanguageEnglish
Published Hoboken Hindawi 2021
Hindawi Limited
Hindawi-Wiley
Subjects
Carbon
Coronaviruses
Correlation analysis
COVID-19
Cross correlation
Economic analysis
Economic policy
Emission analysis
Empirical analysis
Energy consumption
Fractal analysis
Macroeconomics
Medical research
Securities markets
Stock exchanges
Time series
Uncertainty
United States > US
China
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Summary:This paper investigates the long-term dynamic cross-correlation evolution between US economic policy uncertainty index (USEPU) and Guangdong carbon emission trading price (GDCP) from the multifractal detrended cross-correlation analysis (MF-DCCA) perspective. With the calculation of correlation statistics and fluctuation function, the beginning procedures of MF-DCCA, we find that the cross-correlation between USEPU and GDCP is significant and presents power law property. Also, with the Hurst exponent, we find that the long-horizon correlations between series are persistent. Moreover, we perform Rényi exponent and spectrum singularity check. The empirical findings reveal that the all the correlations are of multifractality and the correlation of GDCP holds the highest degree.
ISSN:1076-2787
1099-0526
DOI:10.1155/2021/8091394