宏观经济不确定性对碳交易市场时变波动的溢出效应——基于GARCH簇-SVAR-AB模型的实证研究

Spillover Effects of Macroeconomic Uncertainty on Time-Varying Volatility in Carbon Trading Market:An Empirical Study Based on the GARCH-SVAR-AB Model

为探究经济不确定性影响中国碳交易市场排放权交易价格的影响因素,选取宏观经济、全国碳交易价格、煤炭能源、证券市场与电力消费五类变量,采用GARCH簇-SVAR-AB模型时域和频域溢出指数度量五大变量,对2014年-2022年我国碳交易市场价格的时变波动溢出效应水平及其非对称性进行实证研究。结果表明:碳交易价格波动对我国金融市场具有显著的时变波动风险溢出效应,且在不同冲击规模和正向、负向冲击下表现出风险传染的异质性和明显的非对称性;极端状态与正常状态下的风险溢出走势存在较大差异,极端状态下风险溢出水平远高于正常状态;经济政策不确定性短期上对碳交易市场交易价格有着显著影响,但长期的影响较弱。进一步分析发现,冲击规模和冲击方向均会对碳交易市场波动产生明显的非对称性影响,在极端风险事件冲击下风险的溢出效应及其非对称性更加显著。因此,政府应与金融机构一道,健全碳交易市场的政策调控体系与价格调控机制,创新碳金融衍生产品,降低碳交易市场价格波动对我国金融市场系统性风险的传递水平,阻断风险传递路径,不断提升我国绿色碳金融市场的发展。

To explore the influencing factors of economic uncertainty affecting the trading price of emission rights in China's carbon trading market,five types of variables are selected,namely,macroeconomics,national carbon trading price,coal energy,securities market and electricity consumption,and the five variables are measured by the spllover indexes of the GARCH-SVAR-AB model in the time and frequency domains.An empirical study is conducted on the level of time-varying volatility spillover effect and its asymmetry in China's carbon trading market price from 2014 to 2022.The results show that the carbon trading price volatility has a significant time-varying volatility risk spillover effect on China's financial market,and exhibits heterogeneity of risk contagion and obvious asymmetry under different shock sizes and positive and negative shocks.There is a significant difference between the risk spillover trend in extreme states and normal states,and the level of risk spillover in extreme states is much higher than in normal states.The economic policy uncertainty has a significant impact on the trading price of the carbon trading market in the short term,but its impact is weaker in the long term.Further analyses reveal that both the size and direction of shocks have significant asymmetric impacts on the volatility of the carbon trading market,and the risk spillover effect and its asymmetry are even more significant under the impacts of extreme risk events.Therefore,the government should,in collaboration with financial institutions,strengthen the policy regulation system and price control mechanism in the carbon trading market,promote innovative development of carbon financial derivatives,reduce the transmission of systemic risks in China's financial market arising from price volatility in the carbon trading market,prevent the risk transmission path,and continuously enhance the development of China's green carbon financial market.