全国碳市场与煤炭市场、新能源市场的溢出效应

Research on Spillover Effects of National Carbon Market on Coal Market and New Energy Market

全国碳排放权交易市场作为实现“双碳”目标的重要手段值得学者深入研究。将全国碳市场、动力煤市场、新能源市场置于VAR-BEKK-GARCH模型中,研究表明三个市场之间不存在均值溢出效应但是存在波动溢出效应。具体而言,各市场间各期收益率不会相互影响。然而,市场波动会相互传导。动力煤市场对全国碳市场只产生GARCH项风险溢出效应,而全国碳市场的风险不会传递到动力煤市场。新能源市场对全国碳市场同时具有ARCH效应和GARCH效应,但全国碳市场只会对新能源市场产生GARCH项风险溢出效应。动力煤价格和新能源股价之间皆存在ARCH和GARCH项风险溢出效应。

The national carbon emissions trading market,as an important means of achieving the"dual carbon"goal,is worthy of in-depth research by scholars.By placing the national carbon market,the thermal coal market,and the new energy market in the VAR-BEKK-GARCH model,the study shows that there is no mean overflow effect among the three markets,but there is a volatility spillover effect.Specifically,the returns of each market in each period do not affect each other.However,market fluctuations will be transmitted to each other.The thermal coal market only generates GARCH item risk overflow effect on the national carbon market,and the risk of the national carbon market will not be transmitted to the thermal coal market.The new energy market has both ARCH and GARCH effects on the national carbon market,but the national carbon market will only generate GARCH item risk overflow effect on the new energy market.There exist ARCH and GARCH item risk overflow effects between thermal coal prices and new energy stock prices.