基于DGC-MSV-t模型的欧盟碳市场信息流动研究

Research on Information Flow of EU ETS Based on DGC-MSV-t Model

以能较好地刻画碳价随机波动特征的DGC-MSV模型为基础,考虑碳价尖峰厚尾特性,采用t分布修正模型,选择国际碳市场典型产品EUA为对象,将碳市场溢出效应研究拓展到碳现货、期货、期权三市场中。研究发现:均值溢出方面,EUA现货、期货、期权三市场间呈现高度时变正相关。现货与期货、现货与期权市场时变关系波动剧烈但波动持续性较低,期货与期权市场则反之;波动溢出方面,EUA现货与期货、期货与期权市场间均有显著且双向为正的风险传导现象,但仅存在期权对现货市场微弱的正向溢出。期权与期货市场相比信息量更丰富,是主要的风险溢出源。

This paper improved DGC-MSV model using a t distribution hypothesis. It used the EUA data to extend spillover effect on carbon emission markets to spot,futures,options markets. The empirical results showed that： in terms of mean spillover effect,there was a high and dynamic degree of positive correlation in three markets. The correlation between spot and futures markets,spot and options markets fluctuated wildly but didn＇t last long. The relationship between futures and options markets was opposite. In terms of volatility spillover effect,there was a significant positive risk transmission which was two-way between spot and futures markets,futures and options markets. There was only one-way spillover from options market to spot market which was positive but weak. Options market was the main source of risk spillover.