摘要
作为全球最重要的货币,美元在通过构建VAR模型,运用脉冲响应函数、方差分解函数及格兰杰因果关系检验等计量方法分析了EUA、CER和MY之间的联动效应,研究发现:美元对碳金融市场存在信息溢出效应,但碳金融市场对美元的影响很微弱,即它们的信息溢出效应是单向的。而碳金融市场的两大子市场之间存在着先导-滞后效应,即CER市场信息能够引导EUA市场走势。
As one of the world＇s most important currencies, the dollar＇ s important role in the currency market will make affect on the carbon financial market. By using the VAR model, impulse response function and variance decomposition function and granger causality test and other measurement methods,we analyze the linkage between EUA, CER and The dollar index o the study found that spillover effects exists on carbon financial market information, but the carbon finan- cial market＇s influence is very weak against the dollar, the information overflow effect is one-way. The carbon financial market exists guide-lag effect between the two architectural market, namely the CER market information can guide the EUA markets.
出处
《贵州商业高等专科学校学报》
2013年第4期1-5,共5页
Journal of Guizhou Commercial College
