计及利率与碳价相依性的碳市场风险研究

A Study of Carbon Market Risk Considering the Dependence Between Interest Rates and Carbon Prices

为准确度量碳市场风险,利率与碳价之间的相依性纳入考虑范围。选取有代表性的区域试点及全国碳市场的碳价数据,并结合银行间同业拆放利率数据进行分析。首先,利用ARMA-GARCH(Auto-regressive and moving average-generalized autoregressive conditional heteroskedasticity)模型对碳价和利率2个风险因子的边缘分布进行拟合,在此基础上,分别采用历史模拟法、蒙特卡罗模拟法、正态模拟法和极值分布法,计算未考虑碳价与利率相依性的碳市场单一风险VaR(Value at risk)。为全面评估碳市场风险,进一步地构建Copula-VaR模型,测度考虑碳价与利率相依性的碳市场集成风险。通过研究发现:碳市场集成风险具有区域异质性,风险由大到小排序为:北京、天津、全国、广东、湖北、深圳。此外,将集成风险与碳市场单一风险VaR进行对比分析,发现忽视碳价格与利率的相依性将导致风险高估。

In order to accurately measure the risk of the carbon market,the dependence between interest rates and carbon prices is taken into account.The carbon price data from the representative regional pilot projects and the national carbon market are selected and analyzed in combination with the data of interbank offered rates.Firstly,the ARMA-GARCH model is used to fit the marginal distribution of carbon prices and interest rates.On this basis,the historical simulation method,Monte Carlo simulation method,normal simulation method and extreme value distribution method are used respectively to calculate the single risk VaR of the carbon market without considering the dependence between carbon prices and interest rates.In order to comprehensively assess the risk of the carbon market,the Copula-VaR model is further constructed to measure the integrated risk of the carbon market considering the dependence between carbon prices and interest rates.Through the study,it can be found that the integrated risk of carbon market is regionally heterogeneous,and the order of risks from high to low is:Beijing,Tianjin,the whole country,Guangdong,Hubei and Shenzhen.In addition,a comparative analysis of integrated risk and single risk VaR in the carbon market reveals that ignoring the dependence between carbon prices and interest rates will lead to overestimation of risks.