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Forecasting carbon emissions future prices using the machine learning methods
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DOI：10.1007/s10479-023-05188-7.png)
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Due to the uncertainty surrounding the coupling and decoupling of natural gas, oil, and energy commodity futures prices, the current study seeks to investigate the interactions between energy commodity futures, oil price futures, and carbon emission futures from a forecasting perspective with implications for environmental sustainability. We employed daily data on natural gas futures prices, crude oil futures prices, carbon futures prices, and Dow Jones energy commodity futures prices from January 2018 to October 2021. For empirical analysis, we applied machine learning tools including traditional multiple linear regression (MLR), artificial neural network (ANN), support vector regression (SVR), and long short-term memory (LSTM). The machine learning analysis provides two key findings. First, the nonlinear frameworks outperform linear models in developing the relationships between future oil prices (crude oil and heating oil) and carbon emission futures prices. Second, the machine learning findings establish that when oil prices and natural gas prices display extreme movement, carbon emission futures prices react nonlinearly. Understanding the nonlinear dynamics of extreme movements can help policymakers design climate and environmental policies, as well as adjust natural gas and oil futures prices. We discuss important implications to sustainable development goals mainly SDG 7 and SDG 12.
Keyword:
Carbon emission futures
Natural gas futures
Machine learning
Dow Jones energy commodity
Sustainable development goals
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4.5
论文数:
8.1K
被引数:
2.1W
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