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

Ruwei Zhao | Zendy

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

Author(s) -

Ruwei Zhao

Publication year - 2021

Publication title -

complexity

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.447

H-Index - 61

eISSN - 1099-0526

pISSN - 1076-2787

DOI - 10.1155/2021/8091394

Subject(s) - multifractal system , hurst exponent , detrended fluctuation analysis , exponent , econometrics , correlation , index (typography) , statistical physics , singularity , economics , mathematics , series (stratigraphy) , futures contract , statistics , physics , financial economics , geology , computer science , mathematical analysis , fractal , paleontology , linguistics , philosophy , geometry , scaling , world wide web

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.

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