摘要
研究我国碳市场与其他市场间的溢出效应,无论是从碳风险管理还是从缓解气候恶化角度都具有重要的现实意义。本文以VAR模型在传统能源市场中进行实证,选出对我国碳市场影响最为显著的焦煤市场,然后采用DCC-GARCH模型比较我国碳市场与国内焦煤市场、欧盟碳市场之间的溢出关系。研究表明我国碳市场与焦煤市场间短期调整能力较强、相关性持续程度较高,碳市场对焦煤市场的溢出效应强于焦煤市场对碳市场的溢出效应;欧盟碳市场对我国碳市场溢出效应相对较小,而我国碳市场对欧盟碳市场几乎没有溢出效应,说明国际范围内的碳市场间分割性较大。本文的实证结果表明,在各类市场中,国内焦煤市场与我国碳市场之间的溢出效应最强。
Studying the spillover effect between China’s carbon market and other markets is of great practical significance both from the perspective of carbon risk management and mitigation of climate deterioration.In this paper,VAR model is used to select the coke market with the most significant impact on China’s carbon market from the relevant domestic markets,and DCC-GARCH model is used to discuss the spillover effect between China’s carbon market,the coke market and the European Union’s carbon market.The research shows that the short-term adjustment ability between China’s carbon market and the coke market is strong and the correlation degree is high.The spillover effect of the carbon market on the coke market is stronger than that of the coke market on the carbon market.The spillover effect of EU’s carbon market on China’s carbon market is relatively small,while China’s carbon market has almost no spillover effect on EU’s carbon market,indicating that the international carbon market is highly fragmented.The empirical results of this paper show that the spillover effect between domestic coking coal market and China’s carbon market is the strongest among various markets.
作者
刘建和
梁佳丽
陈霞
Liu Jianhe;Liang Jiali;Chen Xia(School of Finance,Zhejiang University of Finance and Economics,Zhejiang 310018,China)
出处
《工业技术经济》
CSSCI
北大核心
2020年第9期88-95,共8页
Journal of Industrial Technological Economics
