国际碳期货市场间动态尾部相依及风险研究

Research on Dynamic Tail Dependence and Risk Measure between International Carbon Futures Markets

EUA和CER已成为碳期货市场最重要的两种交易商品,文章基于BP检验将2008—2017年两资产连续期货数据分为三时期;通过VAR模型,以线性、非线性格兰杰检验和脉冲响应及方差分解方法研究两者的因果关系;进而运用GARCH-Copula分析各时期动态相依结构;基于Copula函数,结合蒙特卡罗方法计算EUA资产及投资组合的风险值。结果表明:(1)各时期两者间均存在单向或双向的先导关系,且联动性逐渐降低;(2)EUA序列用ARMA-GARCH-t模型拟合较好,而CER的非对称波动更倾向于ARMA-GJRGARCH-N模型;(3)三时期最优连接函数分别为t-Copula、Gumbel Copula和时变RG Copula,且尾部相关系数依次减小;(4)投资组合风险显著低于单个EUA资产风险,且风险降低比例较大。这些结论为以碳期货为投资主体的投资组合策略提供了决策依据。

Currently European Union allowances (EUA) and secondary certified emission reduction (sCER) have become two dominant carbon trading assets. In this paper, we selected the continuous futures con tract prices of EUA and CER between 2008 and 2017, divided the data into three periods according to the Bai-Perron multiple structural changes test, It established the VAR model, and studied the causal relationship between the two markets through the linear and non linear Granger causality test, by using impulse response and variance decomposition methods. On this basis, the Garch-Copula model is used to analyze the dynamic dependence structure of the two markets in different periods. Based on the Copula function, the EUA futures assets and their investment groups with CER assets are calculated by Monte Carlo simulation method.The empirical results indicate that:(1) there is a unidirectional or bidirectional lead relationship between EUA and CER in the three periods, and the level of co-activity is gradually reduced.(2) EUA sequences fit well with ARMA-GARCH-t model, while CER sequences prefer ARMA-GJRGARCH-N model to indicate asymmetric fluctuations.(3) The optimal functions of the three periods are t-Copula, Gumbel Copula and time-varying rotated Gumbel Copula, and the tail correlation coefficient decreases successively.(4) The risk of EUA and CER portfolio is significantly lower than that of a single EUA asset, and the risk reduction ratio is large. These conclusions provide decision-making basis for the portfolio strategy with carb on futures as the investment subject.