贸易战背景下碳市场与能源市场溢出效应研究  

Research on Spillover Effects of Carbon Market and Energy Market Under the Background of Trade War

作　　者：刘建和 温从乐 梁佳丽 Liu Jianhe;Wen Congle;Liang Jiali(School of Finance,Zhejiang University of Finance and Economics,Hangzhou 310018,China)

机构地区：[1]浙江财经大学金融学院,杭州310018

出　　处：《工业技术经济》2021年第7期57-64,共8页Journal of Industrial Technological Economics

基　　金：国家社会科学基金项目“基于金融性资产财富效应的我国流动人口家庭投资和消费决策研究”(项目编号:16BJY004)。

摘　　要：2018年中美贸易战的爆发,对中美碳市场和能源市场都造成了强烈的冲击。为探究中美贸易战对中国碳市场的影响,本文利用断点回归模型发现碳市场价格在中美贸易战爆发前后出现了断层现象。本文运用VAR和方差分解来找出贸易战前后对碳市场影响最大的传统能源市场。通过DCC-GARCH模型,本文研究了中国碳市场与能源市场在中美贸易战前后的溢出关系变化,并发现不同市场间的动态相关性发生了变化。本文以中美贸易战为背景,探究贸易战对中国碳市场和传统能源市场的冲击和影响,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。The outbreak of the Sino-US trade war in 2018 had a strong impact on both the Sino-US carbon market and the energy market.In order to explore the impact of the Sino-US trade war on China's carbon market,this paper uses a breakpoint regression model and finds that the carbon market price has a fault before and after the Sino-US trade war.Secondly,VAR and variance decomposition are applied to study which energy market has the greatest impact on the carbon market before and after the trade war.Finally,through the DCC-GARCH model,this paper studies the changes in the spillover relationship between the Chinese carbon market and energy market before and after the Sino-US trade war,and finds that the dynamic correlation between different markets has changed.Based on the background of the Sino-US trade war,this paper explores the impact of the trade war on China's carbon market and traditional energy market,which has important practical significance from the perspective of carbon risk management and mitigation of climate deterioration.

关 键 词：碳市场 中美贸易战 能源市场 溢出效应 节能减排 碳风险管理 

分 类 号：F830.9[经济管理—金融学] F744