广东湖北碳排放权市场动态相依性分析与风险测度

Dynamic Dependence Analysis and Risk Measurement of China’s Guangdong and Hubei Carbon Emission Rights Market

选择具有代表性的湖北和广东碳排放权交易市场为研究对象,利用GARCH-POT-Copula模型对这两个市场的动态相依性与组合风险度量进行分析。研究结果表明:广东和湖北碳排放权市场之间的相依度较小,两个碳排放权市场价格波动不能给对方市场带来较大的影响,两市场近似于独立存在。提出了要从配额指标、基础设施建设、报送系统、市场交易主体等方面建立健全和完善全国统一的碳排放权交易市场的建议。

This paper chose the representative carbon emissions trading markets in Hubei and Guangdong as the research objects,and analyzed the dynamic dependence and combined risk measurement of the two markets by using the GARCH-POT-Copula model. The research results showed that the degree of interdependence between Guangdong and Hubei carbon emission markets was a little small,and the price fluctuations of the two carbon emission markets didn’t have a greater impact on the other market and they were approximately independent. Finally,it put forward suggestions to establish and improve a unified national carbon emission trading market in terms of quota indicators,infrastructure construction,reporting systems,and market transaction subjects.