经济政策不确定性对深圳碳排放权交易市场波动性的影响——基于GARCH-MIDAS模型的分析  

The Impact of Economic Policy Uncertainty on the Volatility of China Emissions Exchange——Analysis based on GARCH-MIDAS model

作　　者：黄俊凯 Huang Junkai(South China University of Technology,Guangzhou,Guangdong 510000)

机构地区：[1]华南理工大学,广东广州510000

出　　处：《中国商论》2024年第12期121-125,共5页China Journal of Commerce

摘　　要：相较于国外碳排放权市场,我国的碳排放权交易体系交易制度和监管体系等各方面尚待完善。碳排放权价格的波动经常会给投资者、企业、监管带来困扰,这也是当今学者关注的重点。本文采用GARCH-MIDAS模型将碳排放权价格的波动分解为长期和短期分量,并将经济政策不确定性(EPU)指数作为潜在的影响因子,对设立时间最早且有效交易日较多的深圳碳交易市场进行研究。本文采用GJR-GARCH-MIDAS模型进行比对以将杠杆效应纳入考虑。研究表明,经济政策的变化会加剧碳排放权价格的波动,且这种影响是长久的,而杠杆效应在样本中并不显著。因此,政府应通过出台详细政策指引和增加信息披露透明度来最大化降低这种不确定性所带来的价格波动。Compared with foreign carbon markets,China’s carbon emission trading system trading system and regulatory system are not perfect.The fluctuation of carbon emission right prices often brings troubles to investors,enterprises and regulators,which is also the focus of scholars today.In this study,the GARCH-MIDAS model was used to decompose the pricefluctuation of carbon emission rights into long-term and short-term components,and the Economic Policy Uncertainty(EPU)Index was taken as a potential influence factor to study the China Emissions Exchange,which was established earliest and had more effective trading days.The GJR-GARCH-MIDAS model was also used for comparison to consider the leverage effect.The research shows that the changes in economic policy will aggravate thefluctuation of carbon emission right prices,and this influence is long-term,while the leverage effect is not significant in the sample.Therefore,the government should maximize the price volatility caused by such uncertainty by issuing detailed guidelines and increasing the transparency of information disclosure.

关 键 词：经济政策不确定性 碳交易市场 碳价格波动 杠杆效应 GARCH-MIDAS 

分 类 号：F205[经济管理—国民经济] F127