碳中和债券市场对碳交易市场的风险溢出效应研究

Research on Risk Spillover Effect of Carbon Neutral Bond Market on Carbon Trading Market

本文从绿色金融体系出发,聚焦于中国碳排放权交易市场(碳市场),探寻其相关联市场波动对其市场风险的风险溢出效应影响。以碳中和债市场为例,采用Copula函数对收益率序列进行耦合,据此计算和比较碳中和债市场风险对不同碳市场风险的CoVaR值大小。实证结果表明:中国碳试点与碳债指数二者市场风险的相关性为正,表明两市场间存在一定程度的相关性。且在碳试点市场风险的条件在险价值的度量中,市场风险的风险溢出效应存在一定的区域差异。此外,关联市场冲击所导致市场风险波动的上行风险要大于下行风险,也值得关注。本文深化了碳中和债市场与碳市场波动间的内在逻辑关系的理论认知,并为相关部门管理碳交易市场风险、构建预警机制,及高碳企业发行碳中和债提供了经验证据。

From the perspective of a green financial system, this paper focuses on China’s carbon emissions trading market (carbon market) and explores the risk spillover effect of its associated market volatility on its market risk. Taking the carbon neutral bond market as an example, a Copula function is used to couple the yield series, to calculate and compare the CoVaR value of carbon neutral bond market risk to different carbon market risks. The empirical results show that the correlation between the market risk of China’s carbon pilot and the carbon bond index is positive, indicating that there is a certain degree of correlation between the two markets. In the measure of the conditional insured value of the carbon pilot market risk, there are some regional differences in the risk spillover effect of market risk. In addition, the upside risk of market risk volatility due to correlated market shocks is greater than the downside risk, which is also a cause for concern. This paper deepens the theoretical understanding of the intrinsic logi-cal relationship between the carbon-neutral debt market and carbon market volatility and provides empirical evidence for the relevant authorities to manage the risks of the carbon trading market, build an early warning mechanism, and issue carbon-neutral debt by high carbon enterprises.