Dr. Chenyan Lyu joined the University of Exeter Business School as a Postdoctoral Research Fellow in Sustainable Finance in March 2023. Chenyan has obtained a Ph.D. in Economics, MSc in Finance, and BSc in Forestry and Agriculture.
Chenyan has expertise in sustainable finance, energy economics, financial economics, and macroeconomics. Her current research focuses on the co-benefits of carbon pricing, carbon market integration, energy markets, and climate justice.
She worked as a Research and Teaching Assistant at the Department of Economics, Copenhagen Business School from 2020 to 2022. She has been a visiting researcher at the Florence School of Regulation, the European University Institute (Italy), and the University of Groningen (the Netherlands) in 2022.
Chenyan received several awards and grants during her Ph.D. They include the William Demant Fonden Studieophold (Denmark, 2022), Otto Mønsteds Fond Travel Grant (Denmark, 2022), and Augustinus Fonden Grant (Denmark, 2022). Chenyan’s single-authored paper received the Award of Best Student Paper at the International Association of Energy Economics conference 2022 (in Tokyo), the largest and most important conference in the field of energy economics.
Qualifications
- PhD in Economics (Department of Economics, Copenhagen Business School) - 2022
- MSc in Finance (University of Southampton) - 2018
- BSc in Agriculture and Forestry (Beijing Forestry University) - 2017
Links
Research interests
- Sustainable Finance
- Energy Economics
- Financial Econometrics
- Macroeconomics
It became clear that using cost-effective mitigation strategies was a priority in climate change, for instance, carbon pricing. Chenyan’s research mainly focuses on the carbon financial market as the carbon market is believed to be one of the most important policy instruments to meet global net-zero CO2 emissions target. The carbon market derivates are often used by industry companies as core assets when seeking investments that meets the ESG standards. Her research included in-depth, quantitative studies of the carbon derivatives market, green bond market, and the energy markets.
Research projects
Chenyan is working on the project:
1. The RBC Global Asset Management Sustainable Investment Research Programme at Exeter Sustainable Finance Centre (ESF)
2. Assessing Substitution or Complementarity Between Carbon Market and Green Bond Market (PI- Dr. Chenyan Lyu; Co-I: Prof Chendi Zhang, Dr. Pu Yang) (Funded by British Academy/Leverhulme Small Research Grants SRG 2023)
Key publications | Publications by category | Publications by year
Publications by category
Journal articles
Lyu C, Jamasb T, Spanholtz JPG (2022). The long COVID of energy markets and prices.
European Journal of Economics and Economic Policies: Intervention,
11(1).
DOI.
Publications by year
2023
Lyu C, jamasb T, Do HX, Nepal R (2023). Volatility Spillovers and Carbon Price in the Nordic Wholesale Electricity Markets.
Abstract:
Volatility Spillovers and Carbon Price in the Nordic Wholesale Electricity Markets
This paper investigates price volatility and spillover effects in the Nordic electricity wholesale markets, comprising Sweden, Finland, Denmark, and Norway. Utilizing both the Time-Varying Parameter Vector Autoregressive (TVP-VAR) and Rolling Window-based VAR (RW-VAR) approaches, we analyze the integration dynamics among these regional markets and the impact of carbon prices on volatility spillovers. The study employs a rich dataset of 107,352 hourly prices spanning from January 2010 to March 2022. The novelty of this research is three-fold. Firstly, we adopt a connectedness approach to explore volatility interactions among the four Nordic markets, contributing to the scarce literature on volatility in this market. Secondly, we segment the Norwegian market into southern and northern regions, revealing differences in volatility spillover patterns. Lastly, we investigate the influence of carbon prices on volatility spillovers, shedding light on its role in market dynamics. We find significant connectedness between the Nordic markets, with an average volatility Total Connectedness Index of 52.4% and 50.9%. Sweden emerges as the sole net volatility spillover transmitter, while Denmark experiences the largest shocks from the system. We further find that carbon prices exert a 5% significant impact on the volatility spillover index, as estimated by the 200-days rolling window VAR.
Abstract.
DOI.
2022
Lyu C (2022). Dynamics of Regional Carbon Markets in China.
Abstract:
Dynamics of Regional Carbon Markets in China
This paper describes the market architecture of five regional carbon markets in China and carries out an empirical analysis of carbon spot price co-integration from 2014 to 2019. The evidence of co-integration at rank one reveals that these regional ETS pilots are not mutually exclusive of each other. The empirical results in this study show, for the long run, each percentage-point increase in Shanghai and Hubei pilot will cause a decrease of 0.37% and 0.78%, respectively, in the Guangdong price while Beijing and Shenzhen ETS do not enter the long-run relation significantly. In the short term, results suggest that any deviation from the equilibrium co-integrating relationships is mainly caused by changes within the Guangdong ETS. Given the critical stage of development of the national ETS, greater attention should be paid to exploring the relevance of carbon prices across pilots and eventually connecting the regional pilots to the national ETS.
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Lyu C, Scholtens B (2022). Is the Global Carbon Market Integrated? Return and Volatility Connectedness in ETS Systems.
Abstract:
Is the Global Carbon Market Integrated? Return and Volatility Connectedness in ETS Systems
Emission trading Scheme (ETS) is gaining momentum with its increasing market size and constantly improving information transmission mechanisms. With carbon assets becoming prominent as an alternative asset in investment portfolios, the ETS market has engaged a broad range of participants, including not only emissions-intensive energy corporations but also individual and institutional investors. As arbitrage opportunities arise, price fluctuations are likely to occur, which typically have a mutual spillover effect. This paper examines how market fluctuations (e.g. volatilities) in these markets interact with each other, among carbon prices across four jurisdictions – European Union, New Zealand, California, and Hubei (China) ETS. We use weekly return and volatility data, constructed by the daily prices from four markets, covering the period April 2014 - December 2021, and select the time-varying parameter (TVP)-VAR methodology to study the connectedness. We find that the dynamics of the carbon market is mainly explained by itself and not due to spillovers from other markets, indicating that the global carbon prices are largely (albeit not completely) dependent on themselves, not the cross-contribution due to individual shocks.
Abstract.
DOI.
Lyu C, Jamasb T, Spanholtz JPG (2022). The long COVID of energy markets and prices.
European Journal of Economics and Economic Policies: Intervention,
11(1).
DOI.
