基于时变Copula-CoVaR的欧盟与国内碳市场风险溢出效应研究
摘要:经济一体化背景下,研究国内外碳交易市场风险溢出效应,对投资决策、风险管理以及碳市场健康发展均具有重要意义。结合时变Copula函数和广义自回归条件异方差类(generalized auto-regressive conditional heteroscedasticity, GARCH)模型研究欧盟和国内碳交易市场的动态相依结构,在此基础上运用Copula-CoVaR模型研究欧盟碳市场对国内碳市场的风险溢出效应。结果表明:(1)刻画欧盟碳配额期货市场和我国北京、上海、湖北以及深圳碳市场动态相依结构的最优时变Copula函数各不相同,反映了我国区域碳市场的异质性特征。(2)进一步基于Copula-CoVaR模型得到欧盟和国内碳市场的风险溢出效应,发现欧盟碳配额期货市场与北京、上海及湖北碳市场都存在风险溢出效应,而深圳碳市场却不存在风险溢出。最后,基于上述结论提出了防范碳市场风险的相关政策建议。
Abstract：Under the background of economic integration, studying the risk spillover effect of domestic and foreign carbon trading markets is of great significance to investment decision-making, risk management and the healthy development of carbon market. This paper studies the dynamic dependency structure of EU and domestic carbon trading market by combining time-varying copula function and generalized auto-regressive conditional heteroscedasticity (GARCH) model. On this basis, it uses copula CoVaR model to study the risk spillover effect of EU carbon market on domestic carbon market. The results show that: (1) The optimal time-varying copula functions depicting the dynamic dependent structure of EU futures market and China's carbon markets in Beijing, Shanghai, Hubei and Shenzhen are different, reflecting the heterogeneous characteristics of China's regional carbon market. (2) Further, based on Copula CoVaR model, the risk spillover effect of EU and domestic carbon market is obtained. It is found that EU futures have risk spillover effect with Beijing, Shanghai and Hubei carbon market, and there is no risk spillover phenomenon with Shenzhen carbon market. Based on the above conclusions, this paper puts forward relevant policy suggestions to prevent carbon market risks.
标题：基于时变Copula-CoVaR的欧盟与国内碳市场风险溢出效应研究
title:Risk Spillover Effects of EU and Domestic Carbon Market Based on Time-Varying Copula-CoVaR
作者：王喜平, 王雪萍
authors:WANG Xiping, WANG Xueping
关键词：碳市场,时变Copula函数,广义自回归条件异方差类(GARCH)模型,风险溢出,
keywords:carbon market,time-varying Copula function,generalized auto-regressive conditional heteroscedasticity (GARCH) model,risk spillover,
发表日期：2022-06-10
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