This paper examines whether clean-energy market states are associated with the carbon-market volatility proxy in a state-dependent manner in China’s national ETS. Instead of treating the linkage as a single pooled slope, it tests whether the local direction and strength change across clean-energy states. A semiparametric generalized additive model (GAM) shows a nonlinear, U-shaped fitted response. Average derivatives indicate a negative association in lower states and a strong positive local sensitivity (average derivative ≈1.1) in higher states. These results suggest that pooled linear estimates can obscure offsetting local dynamics in the clean-energy-carbon linkage.
Song et al. (Thu,) studied this question.