摘要
碳市场的建立是实现“双碳”目标的重要保障,分析碳市场与化石能源市场间的溢出效应有助于提升市场流动性、规避碳金融风险,从而更好地推动国家气候战略目标。本文运用主成分分析方法将我国8个碳试点价格集成,明确试点阶段我国碳市场的整体发展规律,并通过VAR-GARCH-BEKK模型,进一步探究了全国统一碳市场建立前后碳市场与化石能源市场之间溢出效应的变化情况。结果表明,试点阶段碳市场与各类化石能源市场之间均存在显著的单向均值溢出效应。然而,在全国碳排放权交易市场建立初期,仅有部分发电行业参与交易,这在一定程度上削弱了碳市场与化石能源市场之间的联动关系,造成了二者之间均值溢出效应的下降。此外,全国统一碳市场的建立吸引了更多的投资者,加剧了碳市场和化石能源市场间的风险传染,需要进一步完善监管政策体系,保障碳市场平稳健康运行。
The establishment of the carbon market is an important guarantee for the realization of the“carbon peaking and carbon neutrality”goals.The analysis of the spillover effects between the carbon market and the fossil energy market can help to improve market liquidity and avoid carbon financial risks,so as to better promote the national climate strategic goals.In this paper,principal component analysis method is used to integrate the prices of eight carbon pilots in China,which can help to clarify the o⁃verall development law of China's carbon market in the pilot stage.Then,the VAR-GARCH-BEKK model is applied to further ex⁃plore the spillover effects between the carbon market and the fossil energy market before and after the establishment of national car⁃bon emissions trading market.The results indicate that there is a significant one-way mean spillover effect between the carbon mar⁃ket and fossil energy markets during the pilot phase.However,in the early stages of the establishment of the national carbon emis⁃sion trading market,only a portion of the power generation industry participated in the transaction,which to some extent weakened the linkage between the carbon market and the fossil energy market,resulting in a decrease in the mean spillover effect between the markets.In addition,the establishment of national carbon emissions trading market has also attracted more investors and aggravated the risk contagion between the carbon market and the fossil energy market.It is necessary to further improve the regulatory policy system to ensure the stable and healthy operation of the carbon market.
作者
赵一航
赵会茹
Zhao Yihang;Zhao Huiru(School of Economics and Management,North China Electric Power University,Beijing 102206,China)
出处
《工业技术经济》
CSSCI
北大核心
2024年第4期36-45,共10页
Journal of Industrial Technological Economics
基金
国家自然科学基金委员会-企业创新发展联合基金项目“碳-电耦合环境下电力市场融合交易机制设计及综合价值发现方法”(项目编号:U22B20110)。
