{Reference Type}: Journal Article
{Title}: Nexus of COVID-19 and carbon prices in the EU emission trading system: evidence from multifractal and the wavelet coherence approaches.
{Author}: Ghazani MM;Khosravi R;Barak S;
{Journal}: Environ Sci Pollut Res Int
{Volume}: 29
{Issue}: 27
{Year}: Jun 2022
{Factor}: 5.19
{DOI}: 10.1007/s11356-021-18304-6
{Abstract}: In this paper, we analyzed the role of carbon pricing as a vital tool for achieving the sustainable energy transition and discussed policy implications for reaching this goal in the era of the COVID-19 pandemic. To investigate the connection and cross-correlation between COVID-19 cases and carbon price returns in EU ETS, we applied two novel approaches: the multifractal detrending moving average cross-correlation (MF-X-DMA) and the wavelet coherence techniques. The coverage of data is from 2 March 2020 to 19 March 2021. The results of the MF-X-DMA method show that the cross-correlation is substantial and negatively correlated. Moreover, the results imply the presence of multifractal cross-correlations and that a significant change in the number of COVID-19 cases further impacts carbon price fluctuations. Concerning the wavelet coherence method results, we can also find a strong (negative) relationship between selected variables, and this strong correlation is observed throughout the whole study period. In addition, we observe that in the first wave of the COVID-19 outbreak, the changes in the COVID-19 cases are leading the CO2 price returns (particularly in the 16-32 time scale). The results of this study can have significant implications for policymakers and contributions for environmental experts and investors.