We use the time-varying parameter structural vector autoregression stochastic volatility (TVP-SVAR-SV) and causality-in-quantiles methods to explore the linkage between market liquidity and efficiency in the European Union Emissions Trading Scheme (EU ETS) during Phase III. Our findings indicate that two-way causality existed under normal and lower market conditions. Additionally, the linkage between liquidity and efficiency exhibits time-varying characteristics. Except in cases of extremely high market liquidity, the pass-through effect of liquidity on efficiency is mostly positive in the long run. The linkage is particularly stronger in the medium and long term. However, the response of liquidity to efficiency shocks is more complicated. Market efficiency generally has an overall inhibitory effect on liquidity in the short term and a promoting effect in the medium and long term. Furthermore, we investigate the impulse response during the COVID-19 period and the war between Russia and Ukraine and find that improvements in efficiency will permanently damage liquidity. Overall, the abilities of market makers and arbitrage traders, impacted by multiple factors, play an important role in the process by which liquidity affects market efficiency. By revealing and explaining the dynamic relationship between liquidity and efficiency, this research provides valuable information for policymakers and various market participants.

我们使用时变参数结构向量自回归随机波动率 (TVP-SVAR-SV) 和分位数因果关系方法来探索欧盟排放交易计划 (EU ETS) 第三阶段市场流动性和效率之间的联系。我们的研究结果表明，在正常和较低的市场条件下存在双向因果关系。此外，流动性和效率之间的联系呈现出时变特征。除了在市场流动性极高的情况下，流动性对效率的传递效应从长期来看大多是正向的。从中长期来看，这种联系尤其紧密。然而，流动性对效率冲击的反应更为复杂。市场效率一般在短期对流动性具有总体抑制作用，在中长期具有促进作用。此外，我们调查了 COVID-19 期间的脉冲响应和俄罗斯与乌克兰之间的战争，发现效率的提高将永久损害流动性。总体而言，受多种因素影响，做市商和套利交易者的能力在流动性影响市场效率的过程中起着重要作用。通过揭示和解释流动性和效率之间的动态关系，本研究为政策制定者和各类市场参与者提供了有价值的信息。我们调查了 COVID-19 期间的脉冲响应和俄罗斯与乌克兰之间的战争，发现效率的提高将永久损害流动性。总体而言，受多种因素影响，做市商和套利交易者的能力在流动性影响市场效率的过程中起着重要作用。通过揭示和解释流动性和效率之间的动态关系，本研究为政策制定者和各类市场参与者提供了有价值的信息。我们调查了 COVID-19 期间的脉冲响应和俄罗斯与乌克兰之间的战争，发现效率的提高将永久损害流动性。总体而言，受多种因素影响，做市商和套利交易者的能力在流动性影响市场效率的过程中起着重要作用。通过揭示和解释流动性和效率之间的动态关系，本研究为政策制定者和各类市场参与者提供了有价值的信息。