中国碳市场风险价值度量与实证研究

Measurement and empirical study on Value-at-Risk of China carbon market

碳市场是应对气候变化的重要工具,以金融手段助力温室气体减排,是我国实现“双碳”目标的重要路径。但由于我国在碳金融市场的发展历程较短,碳金融市场风险管理与实证方面的研究仍需进一步深化。以我国八大碳市场日成交均价为研究对象,采用新动态半参数模型对各碳市场风险进行拟合和预测,并对比传统模型度量碳市场风险的表现。结果表明:从数据上看,我国各个碳金融市场分裂割据的程度较严重,市场成交价格和成交量存在巨大差异,不同市场价格的波动程度和频率也不同;在模型拟合度和模型预测方面,动态半参数模型整体上都比其他模型表现得更好。在关注极值理论对CAViaR模型的改进作用时,发现EVT-CAViaR模型对存在极端波动情况的地区具有改善作用。

As an important tool to address climate change,the carbon market is an important path to achieve the“double carbon” goal in China by helping to reduce greenhouse gas emissions through financial means.However,due to the short development history of carbon finance market in China,the research on risk management and empirical evidence of carbon finance market still needs to be further deepened.We use the new dynamic semi-parametric model model to fit and predict the risk of each carbon market,and compare the performance of traditional models in measuring carbon market risk under different VaR predictions.The results show that,from the data point of view,China's carbon financial markets are severely fragmented,with huge differences in transaction prices and volumes among markets,and different degrees and frequencies of price fluctuations in different markets;in terms of model fit and model prediction,the dynamic semi-parametric model performs better than other models overall;meanwhile,this paper also focuses on the effect of extreme value theory on the CAViaR model.It is found that the EVT-CAViaR model has an improvement effect on the areas with extreme fluctuations.