R-vine copula在中国碳市场中的风险溢出效应研究  

Rsearch on the risk spillover effect of R -vine copulain China’s carbon markets

作　　者：吴永 张静 龚乃林 贺洪莲 WU Yong;ZHANG Jing;GONG Nailin;HE Honglian(School Of Science,Chongqing University of Technologe,Chongqing 400054,China)

机构地区：[1]重庆理工大学理学院,重庆400054

出　　处：《重庆理工大学学报（自然科学）》2022年第1期285-293,共9页Journal of Chongqing University of Technology：Natural Science

基　　金：国家社科基金项目“基于COPULA理论的保险系统风险与金融稳定研究”(14BJY200)。

摘　　要：为应对气候变化,越来越多的国家和地区采取碳排放权交易的方式来达到减排二氧化碳的目的。中国建立区域排放交易机制是一种新的探索性实践。为促进中国碳市场的成长和成熟,与国际碳市场融合,对碳市场风险进行测量,并研究了市场之间的风险溢出效应,为碳市场的政策制定提供了理论参考。构建ARMA-GARCH(1,1)模型在偏t、GED等分布下,对中国5个试点碳市场的CO_(2)排放配额现货价格进行建模。VaR和CVaR用来测量上海、北京、湖北、广东、深圳碳市场的风险。R-vine copula-CoVaR用来探索中国碳市场的风险溢出效应。研究结果表明风险溢出效应只存在于深圳与上海、北京与上海、湖北与广东碳市场之间,其中深圳到上海、湖北到广东均为单向风险溢出效应,北京与上海为双向风险溢出效应。In order to deal with climate changes,more and more countries and regions adopte the way of carbon emission trading to achieve the purpose of reducing carbon dioxide.The establishment of regional trading mechanism in China is a new exploratory practice.In order to promote the growth and maturity of China’s carbon markets and integrate with international carbon markets,the risk of carbon markets was measured and the risk spillover effects between markets was researched,which provided theoretical reference for policy making of carbon markets.ARMA-GARCH(1,1)model was constructed to model the spot price of carbon emission allowances in five pilot carbon markets in China under partial t distribution and GED distribution.VaR and CVaR were used to measure the risk of carbon markets in Shanghai,Beijing,Hubei,Guangdong,Shenzhen.R-vine Copula-CoVaR was used to explore the risk spillover effect of China’s carbon markets.The results showed that the spillover effect existed only between Shenzhen and Shanghai,Beijing and Shanghai,Hubei and Guangdong carbon markets.The spillover from Shenzhen to Shanghai and Hubei to Guangdong both were one-way spillover,and Beijing to Shanghai two-way.

关 键 词：碳市场 GARCH R-vine copula-CoVaR 风险溢出效应 

分 类 号：F832[经济管理—金融学]