碳市场对高耗能行业的风险传染研究

Research on Risk Contagion of Carbon Market toHigh Energy-consuming Industries

碳市场作为实现“双碳”目标的重要工具,与高耗能行业有着密切联系,研究碳市场对高耗能行业风险溢出,以及风险传染的路径,对于碳市场稳步推进高耗能行业转型,防范金融风险有着重要意义。本文基于TVP-VAR模型的方差分解溢出指数分析碳市场与高耗能行业的动态联动性和风险传递机制。在此基础上,利用净配对溢出指数构造三阶段复杂网络,从网络视角分析不同时期碳市场与高耗能行业间的风险传染特征。实证结果表明,碳市场处于风险的净接收方,在新冠肺炎疫情冲击和全国碳市场建立时期,对外溢出能力增强,碳市场与高耗能行业的风险传染网络更加紧密,风险传播能力增强。

As an important tool to achieve the goal of“double carbon”,carbon market is closely related to high energyconsuming industries.Studying the risk spillover of carbon market to high energy-consuming industries and the path of risk contagion is of great significance for carbon market to steadily promote the transformation of high energy-consuming industries and prevent financial risks.Based on the variance decomposition spillover index of TVP-VAR model,this paper analyzes the dynamic linkage and risk transmission mechanism between carbon market and high energy-consuming industry.On this basis,a three-stage complex network is constructed by using the net pairing spillover index,and the risk contagion characteristics between carbon market and high energy-consuming industry in different periods are analyzed from the network perspective,and the dynamic investment strategies of carbon market and high energy-consuming industry are analyzed.The empirical results show that the carbon market is a net recipient of risks.During the impact of the COVID-19 epidemic and the establishment of the national carbon market,the external spillover ability is enhanced,the risk contagion network between the carbon market and the high energy-consuming industries is closer,and the risk communication ability is enhanced.