气候政策不确定性会加剧能源市场间极端风险溢出吗?  

Does climate policy uncertainty exacerbate extreme risk spillovers across energy markets?

作　　者：刘振华[1] 丁志华[1] 段钊平 LIU Zhenhua;DING Zhihua;DUAN Zhaoping(School of Economics and Management,China University of Mining and Technology,Xuzhou 221116,China)

机构地区：[1]中国矿业大学经济管理学院,徐州221116

出　　处：《系统工程理论与实践》2023年第6期1651-1667,共17页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(72204250,71974190,71573255);教育部人文社会科学基金(21YJCZH093);江苏省社会科学基金(22GLC022)。

摘　　要：在应对气候变化和推进能源转型进程中,气候政策不确定性已构成能源市场间风险传染的重要诱因.本文采用基于条件分位数的溢出指数方法,研究了正常状态与极端状态下能源市场间风险溢出效应及其动态演变规律,并进一步考察了气候政策不确定性对能源系统风险溢出关系的驱动机制.研究结果表明:1)能源市场间风险溢出效应在不同市场状态下存在显著变化,主要发生在能源市场波动条件分布的尾部,尤其在极端波动上行时期极易发生风险传染.2)在后《巴黎协定》时代,尽管清洁能源市场风险溢出能力有所上升,但在极端冲击下化石能源市场在能源系统风险溢出关系中仍占据主导地位.3)气候政策不确定性是加剧能源市场间极端风险溢出的重要因子,其影响关系在两种极端状态下呈现明显的非对称性,在能源价格极端波动上行时期的影响程度更高.研究结论为识别能源市场风险溢出的驱动机制提供了新的理论视角,也为防范化解国际能源市场风险提供了经验依据.In the process of coping with climate change and promoting energy transformation,climate policy uncertainty has become an important incentive for risk contagion among energy markets.This paper uses the spillover index method based on conditional quantiles to study the risk spillover effect and its dynamic evolution between the energy markets under normal and extreme conditions,and further examines the driving mechanism of climate policy uncertainty on the risk spillovers of the energy system.The results show that:1) There are significant changes in the risk spillovers between energy markets under different market conditions,mainly occurring at the tail of the distribution in the energy market volatility,especially in the period of upward volatility,risk contagion is easy to occur.2) In the post Paris Agreement era,although the risk spillover capacity of the clean energy market has increased,the fossil energy markets still dominate the risk spillovers of the energy system under extreme shocks.3) Climate policy uncertainty is an important factor that exacerbates the extreme risk spillover among energy markets.Its impact relationship shows obvious asymmetry under two extreme market conditions,and the degree of influence is higher in the period of extreme volatility of energy prices.The research conclusions provide a new theoretical perspective for identifying the driving mechanism of risk spillovers in the energy market,and also provides an empirical basis for preventing and resolving risks in the international energy market.

关 键 词：气候政策不确定性 能源市场 极端风险 分位数向量自回归模型 溢出指数 

分 类 号：F831.5[经济管理—金融学] F206