中国区域碳金融交易价格及市场风险分析  

Analysis of the Carbon Prices and Market Risks in the Regional Carbon Market

作　　者：杜莉[1,2] 孙兆东[1] 汪蓉[1] 

机构地区：[1]吉林大学经济学院 [2]吉林大学中国国有经济研究中心

出　　处：《武汉大学学报（哲学社会科学版）》2015年第2期86-93,共8页Wuhan University Journal：Philosophy & Social Science

基　　金：国家社会科学基金重大招标项目(12&ZD059);中国滨海金融协同创新中心项目

摘　　要：市场风险是区域碳金融交易风险的突出风险。通过异方差表示各区域碳市的极端风险;用GARCH(1,1)、ARCH(1)代表的ARCH族模型下的参数估计得到不同碳交易所对价格冲击的不同衰减速度;通过ARCH族类模型计算每天的VaR代表碳金融市场的市场风险。结果表明:不同碳交易所的极端风险、价格冲击的衰减速度、VaR的统计特征及模型估计的准确性有较大差异,对分区域风险监控提出了更多的挑战。应当构建全国统一的碳交易市场,以防控风险并保持碳交易市场的稳定发展。Market risks are the prominent risks of the regional carbon market. In this paper,heteroscedasticity is used to represent the extreme risk of the regional carbon market. Different rate of decay to price shocks is get through estimated parameters which are computed by ARCH models,represented by GARCH（ 1,1） and ARCH（ 1） model.Daily VaR（ Value at Risk）,on behalf of the carbon market risks,are calculated through ARCH models.The results indicate that,extreme risk and the rate of decay to carbon price shocks as well as the VaR are all different in different regional carbon market,which is large challenge to monitor risks.So the government should consider to build a unified national carbon market to guard against the risks and maintain the stability of the carbon trading market.

关 键 词：区域碳金融 异方差 ARCH族 VAR 统一碳市 

分 类 号：F426.61[经济管理—产业经济]