欧盟EUA与CER两个市场之间的溢出效应研究

A Study on the Spillover Effects between EU EUA Market and CER Market

通过分析欧盟EUA碳交易市场与CER碳交易市场间溢出效应的形成机制,提出了对称溢出的理论假设,并运用格兰杰因果检验、VAR模型以及MGARCH-BEKK模型等方法对假设进行了实证检验。实证结果拒绝了理论假设,EUA市场与CER市场相互间收益和波动溢出效应存在非对称性。收益溢出方面,EUA市场对CER市场有显著的负的溢出效应,而CER市场对EUA市场的溢出效应不显著;波动溢出方面,EUA与CER市场间存在负的双向波动溢出效应,但是EUA市场对CER市场的溢出效应相对较大。

This paper firstly analyses the formation mechanism of spillover effects between EU EVA carbon trading market and CER carbon trading market and then puts forward the theoretical hypothesis of symmetrical spillover effects. This theoretical hypothesis is tested by Granger causality test,VAR model,MGARCH-BEKK model. The empirical results show that the theoretical hypothesis is refused. It exerts dissymmetric spillover effects between the EUA market and the CER market. On the aspect of income spillover,the EUA market has significant negative spillover effects on the CER market,however the CER market has no significant spillover effects on the EUA market. On the aspect of volatility spillover,there is a two-way negative volatility spillover effects between EUA and CER markets. But the EUA market has a stronger volatility spillover effects on the CER market. The paper analyses the reason why the theoretical hypothesis is rejected by empirical results and proposes some advice to our government.