We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
On the Predictability of China Macro Indicator with Carbon Emissions Trading.
- Authors
Chen, Qian; Gao, Xiang; Xie, Shan; Sun, Li; Tian, Shuairu; Hamori, Shigeyuki; Moutinho, Victor
- Abstract
Accurate and timely macro forecasting requires new and powerful predictors. Carbon emissions data with high trading frequency and short releasing lag could play such a role under the framework of mixed data sampling regression techniques. This paper explores the China case in this regard. We find that our multiple autoregressive distributed lag model with mixed data sampling method setup outperforms either the auto-regressive or autoregressive distributed lag benchmark in both in-sample and out-of-sample nowcasting for not only the monthly changes of the purchasing managers' index in China but also the Chinese quarterly GDP growth. Moreover, it is demonstrated that such capability operates better in nowcasting than h-step ahead forecasting, and remains prominent even after we account for commonly-used macroeconomic predictive factors. The underlying mechanism lies in the critical connection between the demand for carbon emission in excess of the expected quota and the production expansion decision of manufacturers.
- Subjects
CHINA; CARBON offsetting; EMISSIONS trading; CARBON emissions; PURCHASING managers index
- Publication
Energies (19961073), 2021, Vol 14, Issue 5, p1271
- ISSN
1996-1073
- Publication type
Article
- DOI
10.3390/en14051271