中国碳金融交易价格风险测度研究——基于GARCH-VaR模型视角

Research on Price Risk Measurement of Carbon Finance Transaction——Based on the GARCH-VaR Model Perspective

“碳达峰”和“碳中和”战略目标的提出进一步提升了中国碳金融市场发展水平。在分析碳金融交易价格风险及其测度方法基础上,基于中国上海、北京、广东、福建、深圳和湖北六大交易所2020年10月至2022年1月交易价格数据,采用GARCH-VaR模型测度了中国碳金融交易价格风险水平。研究发现:中国碳金融交易价格总体风险水平较高;6个交易市场碳金融交易价格风险从大到小依次是上海、北京、深圳、福建、广东和湖北;上海和北京交易市场价格风险超过了6个市场价格风险的平均水平,剩余4个市场低于6个市场平均价格风险水平。应该进一步健全碳金融产品定价机制和碳金融交易平台,逐步建立高效的碳金融价格风险防控机制,并进一步明确碳金融交易价格风险的监管重点。

The strategic objectives of“carbon peak”and“carbon neutralization”have further improved the development level of China’s carbon financial market.Based on the analysis of carbon finance transaction price risk and its measurement methods,based on the transaction price data of six major exchanges in Shanghai,Beijing,Guangdong,Fujian,Shenzhen and Hubei from October 2020 to January 2022,GARCH-VaR model is used to measure the price risk level of carbon finance transaction.It is found that the overall risk level of carbon finance transaction price in China is high;the order of carbon finance transaction price risk in the six trading markets from large to small is Shanghai,Beijing,Shenzhen,Fujian,Guangdong and Hubei;the price risk of Shanghai and Beijing Trading Markets exceeds the average level of price risk of the six markets,and the remaining four markets are lower than the average level.China should further improve the pricing mechanism of carbon financial products and carbon financial trading platform,establish an efficient carbon financial price risk preventionand control mechanism gradually,and further clarify the regulatory focus of carbon financial transaction price risk.