“双碳”目标背景下我国碳排放权交易市场价格波动及风险度量研究  

Research on Price Volatility and Risk Measurement of Carbon Trading Market under the Background of Carbon Peaking and Carbon Neutrality in China

作　　者：施露凡 刘鹏兰 SHI Lufan;LIU Penglan(College of Economics and Management,Yangtze University Jingzhou,Hubei 434023;College of Information and Mathematics,Yangtze University Jingzhou,Hubei 434023)

机构地区：[1]长江大学经济与管理学院,湖北荆州434023 [2]长江大学信息与数学学院,湖北荆州434023

出　　处：《中国商论》2023年第10期96-99,共4页China Journal of Commerce

基　　金：长江大学大学生创新创业训练计划项目(Yz2021172)。

摘　　要：随着我国“双碳”战略的持续推进,碳排放权交易已成为推动我国实现“双碳”目标的重要环境政策。在“双碳”目标背景下,考察我国碳金融市场波动,度量并防范碳金融市场风险有着积极的现实意义。本文通过对“双碳”目标提出前后我国6所碳排放权交易所的日交易数据进行实证分析,建立GARCH模型评估各交易所收益率的波动特征,计算VaR值度量市场风险。研究表明,GARCH模型能较好地拟合和预测碳金融市场价格波动特征及在险价值;6所碳排放权交易所由于所在区域的政策执行情况、市场机制等存在不同,各交易所的价格波动情况在绿色政策出台前后存在差异,有明显的区域性特征,但市场整体呈相对理性的状态,波动趋于稳定。本文基于实证分析结果,对我国碳金融市场风险管理提出多方面的对策与建议,以碳金融市场的良性发展助推“双碳”目标的实现。With the continuous promotion of China's"dual carbon"strategy,carbon emission trading has become an important environmental policy to promote China's achievement of the"dual carbon"goal.In the context of the"dual carbon"goal,examining the volatility of China's carbon finance market,measuring and preventing carbon finance market risks,has positive practical significance.This article empirically analyzes the daily trading data of six carbon emission rights exchanges in China before and after the proposal of the"dual carbon"goal,establishes a GARCH model to evaluate the volatility characteristics of the returns of each exchange,and calculates VaR values to measure market risk.The research shows that GARCH model can better fit and predict the characteristics of price fluctuations and the value at risk in the carbon financial market;Due to differences in policy implementation and market mechanisms in the regions where the six carbon emission rights exchanges are located,the price fluctuations of each exchange vary before and after the introduction of green policies,with obvious regional characteristics.However,the overall market is in a relatively rational state,with fluctuations tending to be stable.Based on empirical analysis results,this article proposes various countermeasures and suggestions for risk management in China's carbon finance market,in order to promote the realization of the"dual carbon"goal with the healthy development of the carbon finance market.

关 键 词：“双碳”目标 碳排放权交易 收益率 GARCH模型 VAR 

分 类 号：F062.2[经济管理—政治经济学]