中国碳交易市场与能源市场的时变溢出效应——基于联合溢出指数模型的实证研究  

Time-Varying Spillover Effects of China’s Carbon Trading Market and Energy Market——An Empirical Study Based on the Joint Spillover Index Model

作　　者：龚振庭 Gong Zhenting(Department of Economics and Management,ZhanJiang Preschool Education College,Zhanjiang,Guangdong 524037,China;Basic Education College,Lingnan Normal University,Zhanjiang,Guangdong 524000,China)

机构地区：[1]湛江幼儿师范专科学校经济管理系,广东湛江524037 [2]岭南师范学院基础教育学院,广东湛江524000

出　　处：《西部经济管理论坛》2023年第2期49-63,共15页West Forum on Economy and Management

基　　金：湛江市哲学社会科学规划项目青年项目(ZJ22QN02);湛江市非资助科技攻关计划项目(2021B01507)。

摘　　要：随着全国统一碳交易市场建设步伐的加快,科学地衡量碳交易市场与能源市场之间的风险溢出效应在复杂多变的市场环境下显得尤为重要。本文采用Diebold溢出模型和Lastrapes联合溢出模型衡量中国碳交易市场和能源市场的静态与动态风险溢出效应。研究结果表明,碳交易市场和能源市场之间存在风险溢出效应,各个市场的溢出指数存在较为显著的波动。根据研究结果,本文提出了加快建设碳交易市场的对策建议。With the acceleration of building a unified national carbon trading market,it is of utmost importance to scientifically assess the risk spillover effect between the carbon trading market and the energy market in the complex and dynamic market environment.This study employs the spillover model proposed by Diebold and the Joint Spillover Model proposed by Lastrapes to assess the static and dynamic risk spillover effect between the carbon trading market and energy market in China.The findings indicate that there is risk spillover effect between the carbon trading market and energy market and the spillover index of them significantly fluctuates.In light of these results,this study provides suggestions for accelerating the construction of the carbon trading market.

关 键 词：碳交易市场 能源市场 联合溢出效应 风险关联性 

分 类 号：F832[经济管理—金融学]