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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| Format: | Article |
| Language: | English |
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Wiley
2021-01-01
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| Series: | Complexity |
| Online Access: | http://dx.doi.org/10.1155/2021/8091394 |
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| _version_ | 1832561469270523904 |
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| author | Ruwei Zhao |
| author_facet | Ruwei Zhao |
| author_sort | Ruwei Zhao |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-f88cd28bc01b47aaa4d09d19ac2d634a |
| institution | Kabale University |
| issn | 1076-2787 1099-0526 |
| language | English |
| publishDate | 2021-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Complexity |
| spelling | doaj-art-f88cd28bc01b47aaa4d09d19ac2d634a2025-02-03T01:24:59ZengWileyComplexity1076-27871099-05262021-01-01202110.1155/2021/80913948091394Economic Policy Uncertainty and Local Carbon Emission Trading: A Multifractal Analysis from US and GuangdongRuwei Zhao0School of Business, Jiangnan University, Wuxi, Jiangsu 214122, ChinaThis 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.http://dx.doi.org/10.1155/2021/8091394 |
| spellingShingle | Ruwei Zhao Economic Policy Uncertainty and Local Carbon Emission Trading: A Multifractal Analysis from US and Guangdong Complexity |
| title | Economic Policy Uncertainty and Local Carbon Emission Trading: A Multifractal Analysis from US and Guangdong |
| title_full | Economic Policy Uncertainty and Local Carbon Emission Trading: A Multifractal Analysis from US and Guangdong |
| title_fullStr | Economic Policy Uncertainty and Local Carbon Emission Trading: A Multifractal Analysis from US and Guangdong |
| title_full_unstemmed | Economic Policy Uncertainty and Local Carbon Emission Trading: A Multifractal Analysis from US and Guangdong |
| title_short | Economic Policy Uncertainty and Local Carbon Emission Trading: A Multifractal Analysis from US and Guangdong |
| title_sort | economic policy uncertainty and local carbon emission trading a multifractal analysis from us and guangdong |
| url | http://dx.doi.org/10.1155/2021/8091394 |
| work_keys_str_mv | AT ruweizhao economicpolicyuncertaintyandlocalcarbonemissiontradingamultifractalanalysisfromusandguangdong |