空气质量与中国碳市场:尾部因果关系

Air Quality and China’s Carbon Market:Causal Relationship in Tails

【目的/意义】碳市场的建立是针对空气质量和全球变暖所作出的重大举措,中国作为全球碳排放量最多的国家,建立健全中国碳市场既是趋势也是责任。【设计/方法】基于分位数框架下的格兰杰非因果关系检验模型,本文研究了空气质量与碳市场收益率在不同情境下的因果关系。【结论/发现】第一,空气质量与碳市场收益率之间的因果关系大多存在于尾部区域,表明只有极端情况下两者才会相互影响;第二,空气质量与碳市场收益率之间存在双向因果关系,但是碳市场收益率对空气质量的影响相对较弱,意味着空气质量可以作为解释碳市场收益率变动的重要因素,碳市场的减排成效仍需长期验证;第三,不同样本时期空气质量与碳市场收益率之间的因果关系具有异质性。研究结论有助于完善试点碳市场的定价机制,更有力地改善空气质量,为全面建立中国碳交易市场提供启示。

[Purpose/Significance]The establishment of the carbon market is a major measure for air quality,especially global warming.As the country with the most carbon emissions in the world,establishing a sound Chinese carbon market is both trend and responsibility.[Design/Methodology]Based on the Granger non-causality test model under the quantile framework,the causal relationship between air quality and carbon market returns in different contexts is studied.[Conclusions/Findings]First,the causal relationship between air quality and the five carbon market returns mostly exists in the tail region,indicating that the two will affect each other only under extreme conditions;second,there is a two-way causal relationship between air quality and carbon market returns,but the impact of carbon market returns on air quality is relatively weak,which means that air quality can be used as an important factor in explaining changes in carbon market returns,the effectiveness of carbon market emissions reduction still needs long-term verification;third,the causal relationship between air quality and carbon market returns in different sample periods is heterogeneous.The conclusions will help improve the pricing mechanism of the pilot carbon market,improve air quality more effectively,and provide inspiration for the comprehensive establishment of China’s carbon trading market.