不同情境下中国碳排放权交易市场的风险度量  

Risk measurement of China's carbon emissions trading market in different circumstances

作　　者：刘红琴[1] 胡淑慧 LIU Hong-qin;HU Shu-hui(School of Management and Economics,Kunming University of Science and Technology,Kunming 650100,China)

机构地区：[1]昆明理工大学管理与经济学院,中国昆明650100

出　　处：《中国环境科学》2022年第2期962-970,共9页China Environmental Science

基　　金：国家自然科学基金项目(71463034);云南省应用基础研究项目(2018FD041);校人培重点项目。

摘　　要：以深圳、湖北、广东、上海及北京5个碳交易中心2015~2020年的日交易数据为基础,设置了Ave、Med、Max、Min 4种交易情境,采用TGARCH-VaR模型对不同情境下的碳排放权交易市场风险进行了研究.结果表明,不同情境下碳排放交易市场风险存在差异,各情境的市场稳定性、政策响应度均存在一定规律:Ave情境碳现货收益率波动幅度最小,而Max情境与Min情境碳现货收益率波动幅度较大,意味着Ave情境下碳市场的风险最小.4种情境下碳市场都存在风险杠杆效应,坏消息对市场波动的冲击要大于好消息的冲击;Med情境与Min情境对政策依赖性较强,容易受到外界因素的冲击而产生较大的波动风险;Max情境下碳市场对消息面的敏感度最低,难以体现市场应有的调节作用;Ave情境市场稳定性较高并且能较好体现政策的调节作用.Ave情境下碳市场的VaR值方差最小,Max情境下碳金融市场的VaR值方差明显高于其他3市场,说明Ave情境下碳市场价格波动性风险较小;Ave情境碳市场风险最小、市场稳定性较高并且能较好体现政策的调节作用.我国在统一碳排放市场时,应该考虑到各个地区差异性,关注碳市场价格的稳定性,进而降低碳市场风险,提高企业参与碳交易的积极性助力双碳目标的落实.Based on the daily trading data of 5 carbon trading centers in Shenzhen,Hubei,Guangdong,Shanghai,and Beijing from 2015 to 2020,four trading scenarios of Ave,Med,Max,and Min are set up,and the TGARCH-VaR model is used to analyze carbon in different scenarios.The market risk of emissions trading has been studied.The results show that there are differences in carbon emissions trading market risks in different scenarios,and there are certain laws in the market stability and policy response of each scenario:The fluctuation range of the carbon spot yield in the Ave scenario is the smallest,while the Max scenario and the Min scenario have fluctuations in the carbon spot yield.The larger fluctuation of the spot yield means that the risk of the carbon market in the Ave scenario is minimal.The carbon market in the four scenarios has a risk leverage effect,and the impact of bad news on market volatility is greater than that of good news.The Med and Min scenarios are highly dependent on policies,and are susceptible to greater volatility risks due to external factors;the carbon market in the Max scenario is the least sensitive to news,and it is difficult to reflect the market's proper regulatory role;The Ave scenario market is more stable and can better reflect the regulatory effect of the policy.The VaR value variance of the carbon market under the Ave scenario is the smallest,and the VaR value variance of the carbon finance market under the Max scenario is significantly higher than the other three markets,indicating that the carbon market price volatility risk is small in the Ave scenario;the carbon market risk is the smallest in the Ave scenario and the market is stable It is highly sexual and can better reflect the regulatory role of the policy.When China is unifying the carbon emission market,it should take into account the differences in various regions and enthusiasm of enterprises to participate in carbon trading,helps to implement the dual carbon goals.

关 键 词：碳排放权交易 统一碳排放市场 风险度量 TGARCH模型 

分 类 号：X820.4[环境科学与工程—环境工程]