欧盟和国内碳交易市场的相依结构及风险溢出效应研究

Research on the Dependence Structure and Risk Spillover Effect Between EU and Domestic Carbon Trading Market

研究国内外碳市场的相依结构及风险溢出效应,对于投资决策、风险监管以及碳交易市场建设均具有重要意义。本文结合Copula函数和ARMA-GARCH模型捕捉欧盟碳市场期货价格与国内北京、上海、广东、深圳和湖北5个碳市场的碳价波动的尾部相依结构特征,并建立基于分位数的CoVaR模型探究欧盟碳市场对国内碳市场的风险溢出效应。研究表明:(1)国内外碳市场存在非对称的相依结构,Gumbel Copula捕捉到欧盟碳市场和北京、广东和湖北3个碳市场之间的相依结构,即风险对上尾比较敏感;Clayton Copula函数捕捉到欧盟碳市场和上海碳交易市场之间的相依结构,即风险对下尾比较敏感;而t-Copula函数刻画欧盟碳市场和深圳碳交易市场之间尾部特征呈现持续相依性;(2)欧盟碳市场对国内碳交易市场风险溢出效应影响最大的是湖北,最小的是深圳,且欧盟碳市场对国内碳交易市场的风险溢出效应可表示为:湖北>广东>上海>北京>深圳。基于上述结论提出了相关政策建议。

It is significant to study the dependence structure and risk spillover effect of carbon market at home and abroad for investment-decision,risk-regulation and carbon market construction.In this paper,Copula function and ARMA-GARCH model are used to capture the tail-dependent structural characteristics of carbon price fluctuation between the futures price of EU carbon market and five domestic carbon markets of Beijing,Shanghai,Guangdong,Shenzhen and Hubei,the CoVaR model is established to explore the risk spillover effect of EU carbon market on domestic carbon market.The results indicated that an asymmetric dependent structure exists between domestic and foreign carbon market.Gumbel Copula captures the dependence structure between the EU and the three carbon markets of Beijing,Guangdong and Hubei;while Clayton Copula captures the dependence structure between EU and Shanghai carbon market,and the t-Copula function describes the continuous dependence between the tails of the EU and Shenzhen carbon market.The risk spillover effect of EU carbon market on Hubei carbon market is the largest,while the smallest is Shenzhen carbon market,and the risk spillover effect of EU on domestic carbon trading market can be expressed as:Hubei>Guangdong>Shanghai>Beijing>Shenzhen.Based on these conclusions,some policy suggestions are put forward.