基于复杂网络的中国碳排放权价格风险传染研究

Research on the Price Risk Contagion of China's Carbon Emission Rights Based on Complex Networks

明晰碳价影响因素网络变化,有助于发现中国碳市场现阶段的主要风险源及风险传染特征,对维持碳价稳定与推动经济社会绿色低碳发展有着重大的理论及实践意义。本文基于格兰杰因果检验,构建了含有20个指标的碳价影响因素风险网络。首先通过网络拓扑性质,识别关键性指标,分析网络结构,然后利用k-core算法对网络进行分层分析及传播动力学分析,最后运用最小树形图筛选网络连边,分析指标间的风险传染路径。结果表明:全国碳市场运行后,国际碳价与国外经济形势处于风险网络的核心位置,有着较强的风险传染能力;网络整体风险传染能力减弱,风险传染范围变窄,传染速度变慢;网络的层次变浅,风险更易感知;利率与汇率中介作用显著减弱,而中国大庆原油现货价格有着较强的中介作用。

Clarifying the changes in the network of factors influencing carbon prices can help identify the main risk sources and risk contagion characteristics of China's carbon market at this stage,which has significant theoretical and practical significance for maintaining carbon price stability and promoting green and low-carbon economic and social development.This article constructs a carbon price risk network with 20 indicators based on Granger causality test.Firstly,key indicators are identified through network topology properties,and network structure is analyzed.Then,the k-core algorithm is used to further analyze the network hierarchy and propagation dynamics.Finally,the minimum tree graph is used to filter network edges and study the risk transmission path be⁃tween indicators.The results indicate that after the operation of the national carbon market,the international carbon price and fo⁃reign economic situation are at the core of the risk network,with a strong risk contagion ability.The overall risk contagion ability of the network has weakened,the scope of risk contagion has narrowed,and the speed of contagion has slowed down.The level of the network has become shallower,and the risks are more easily perceived.The mediating effect between interest rates and exchange rates has significantly weakened,while the spot price of Daqing crude oil in China has a strong mediating effect.