中国碳排放权交易市场波动性评估

Volatility Assessment of China's Carbon Emissions Trading Market

随着近年来我国碳交易市场的快速发展,碳价波动带来的市场风险亟需重视与防范。选取国内8个碳交易试点的碳配额日收盘价为研究对象,构建GARCH模型以评估各试点市场的波动性。结果表明:①国内的碳市场收益率普遍具有尖峰厚尾特征;②我国碳市场波动总体呈现聚集特征,GARCH(1,1)模型能够较好的拟合其波动性;③试点碳市场应对外部冲击和前期波动影响的记忆性存在区域性差异,该差异与地区政策实施、市场机制等有关。基于研究结果,提出完善统一碳交易市场机制、健全碳市场风险预警与管理系统和丰富碳金融产品种类的相关建议,为全国碳市场建设的发展提供参考。

With the rapid development of my country's carbon trading market in recent years,the market risks caused by carbon price fluctuations need urgent attention and prevention.This paper constructed a GARCH model to evaluate the volatility of each pilot market by selecting the daily closing price of carbon allowances in 8 domestic carbon trading pilots as the research object.The results showed that:①The domestic carbon market returns generally had the characteristics of sharp peaks and thick tails;②The volatility of my country's carbon market generally presented the characteristics of aggregation,and the GARCH(1,1)model could better fit its volatility;③There were regional differences in the memory of the pilot carbon market in response to external shocks and previous fluctuations,which were related to regional policy implementation and market mechanisms.Based on the research results,it put forward some relevant suggestions to improve the unified carbon trading market mechanism,to improve the carbon market risk early warning and management system,and to enrich the types of carbon financial products,so as to provide reference for the development of the national carbon market construction.