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
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 The RBC Global Asset Management Sustainable Investment Research Programme at Exeter Sustainable Finance Centre (ESF)
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
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.
Abstract.
DOI.
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.
