我国碳排放交易价格对煤炭行业的溢出效应——基于VAR-BEKK-MGARCH模型的实证分析  

Spillover Effect of China's Carbon Emission Trading Price on Coal Industry Empirical Analysis Based on VAR-BEKK-MGARCH Model

作　　者：吴正平 张长全[1] Wu Zhengping;Zhang Changquan(College of Finance,Anhui University of Finance and Economics,Bengbu,Anhui 233000,China)

机构地区：[1]安徽财经大学金融学院,安徽蚌埠233000

出　　处：《黑龙江工业学院学报（综合版）》2022年第4期108-114,共7页Journal of Heilongjiang University of Technology(Comprehensive Edition)

基　　金：国家社会科学基金项目“百年中国农村合作教育研究”(项目编号:19BZS088)阶段性研究成果。

摘　　要：碳排放交易作为一种市场化的碳排放控制手段,近年来愈来愈受到人们的关注。通过构建VAR-BEKK-MGARCH模型对碳排放交易价格、动力煤价格和煤炭企业的股票价格三者进行回归后发现,在均值方面煤炭企业股票价格均值会对煤炭价格和碳排放交易价格的均值产生显著的溢出效应,而碳排放交易价格均值的变动也会对煤炭价格的变动产生显著的溢出效应;在波动方面,煤炭价格的波动会对碳排放交易价格的波动产生显著的溢出效应。碳排放交易价格波动对煤炭企业股票价格的波动、煤炭企业股票价格波动对煤炭价格波动和碳排放交易价格均具有显著的溢出效应。As a market-based means of controlling carbon emission,carbon emission trading has attracted more and more attention in recent years.In this paper,after the regression of carbon emission trading price,thermal coal price and the stock price of coal companies by constructing the VAR-BEKK-MGARCH model,it is found that the mean value of coal enterprise stock price will have significant spillover effect on the mean value of coal price and carbon emission trading price,and the change of the mean value of carbon emission trading price will also have significant spillover effect on the coal price change.In terms of fluctuation,the fluctuation of coal price will have a significant spillover effect on the fluctuation of carbon emission trading price.The fluctuation of carbon emission trading price has significant spillover effects on the fluctuation of coal enterprise stock price,and the fluctuation of coal enterprise stock price on coal price fluctuation and carbon emission trading price.

关 键 词：碳排放交易 煤炭市场 煤炭企业股票 溢出效应 VAR-BEKK-MGARCH模型 

分 类 号：F832.5[经济管理—金融学] F416.21