摘要
本文研究了碳排放权价格与大类资产价格之间波动风险和信息的传导。运用ARMA(1,1)-CGARCH模型,构建了价格时间序列的长、短期波动性作为风险和信息的度量,并根据格兰杰因果检验的遍历性,判断条件风险和极端风险下的欧盟碳排放权配额(EUA)期货当日价格与19个金融、能源和大类资产当日价格之间的溢出关系,并以深圳碳现货价格为例,测算国内碳市场和其他市场的波动信息传导,数据来源为WIND数据库。研究结果表明:1欧盟碳期货市场与金融、能源等大类资产市场存在波动风险和信息的传导,其中与金融市场的关系略强;2这个传导关系是动态变化的,在欧盟碳市场发展的三个阶段表现不同;3极端风险和条件风险下波动信息传导表现不同;4中国碳市场和大类资产价格之间基本上不存在波动风险和信息的传导。研究结果对未来中国碳市场建设提供了风险管理方面的启示,尤其在极端风险下应该加大重视。此外,有些指标同时具有溢入和溢出的因果关系,其他市场的参与者应该充分重视来自碳市场的风险冲击,前瞻性的采取风险控制和风险规避。
This paper studied risk transmission between the European carbon futures price and commodity futures prices. Financialization of carbon futures market and global economics have made price fluctuation of carbon futures vulnerable to international shock and risk management is increasingly complicated for participants such as investors and fossil fuel consumption enterprises.The ARMA(1,1)-Component GARCH model was applied to build long and short volatility as risk measurement. Here we used a data set of 19 time series for financial,energy and commodity futures daily prices from the WIND data base to estimate the ergodicity in the Granger causality test from the perspective of extreme risks and regular risks. Results show that risk transmission exists in several causal relationships between carbon future markets and stocks,energy and commodity futures markets. The connection between the carbon market and financial market presents a stronger relationship than other markets. Besides,the risk transmission between carbon future markets and stocks,energy and commodity futures markets is dynamic and these are different in different phases despite similar spillovers in some phases. The results of causality tests are different in the circumstances of extreme risks and regular risks. The extreme risk of price volatilities of financial,energy and commodity futures markets is of concern because extreme volatility risk may have significant spillovers for carbon futures markets. Some proposals in risk control,especially for extreme risk control and management are developed under the coming united carbon market in China and some spillover effects in the results of causality tests should receive attention to the risk impacts of price fluctuation of carbon.
出处
《资源科学》
CSSCI
CSCD
北大核心
2015年第6期1258-1265,共8页
Resources Science
基金
国家自然科学基金(71473010)
北京工业大学经济与管理学院2015年科研专款基金
中央高校基本科研业务费重大基础研究项目(JBK14117)
关键词
碳市场
波动信息传导
溢出性
格兰杰因果检验
遍历性
carbon market
volatility information transmission
spillover
granger causality test
ergodicity
