俄乌冲突对欧盟碳排放权交易市场波动及风险影响研究——基于GARCH-VaR视角  

Study on the Impact of Russia-Ukraine Conflict on the Volatility and Risk of EU Carbon Emission Rights Trading Market-Based on GARCH-VaR Perspective

作　　者：靳慧娜 JIN Huina(School of Mathematics and Statistics,Henan University of Science and Technology)

机构地区：[1]河南科技大学数学与统计学院

出　　处：《上海节能》2024年第6期949-954,共6页Shanghai Energy Saving

摘　　要：俄乌冲突的爆发对欧盟(EU)碳排放交易体系造成了剧烈冲击,测度俄乌冲突对碳排放交易价格波动和风险水平的冲击具有重要意义。通过设置俄乌冲突前和俄乌冲突后两个情景,基于欧盟碳排放配额期货(EUA)日度数据,采用GARCH-VaR模型来探究俄乌冲突对欧盟碳市场价格波动和市场风险影响,研究证实GARCH-VaR模型可以测度俄乌冲突前后欧盟碳排放权收益率序列的波动特征以及度量市场风险水平,俄乌冲突增加了欧盟碳交易市场的波动及风险水平。The outbreak of the Russia-Ukraine conflict has caused a drastic impact on the carbon emissions trading system of the European Union(EU),and it is of great significance to measure the impact of the Russia-Ukraine conflict on the price volatility and risk level of carbon emissions trading.By setting up two scenarios before and after the Russia-Ukraine conflict,and based on EU Carbon Allowance Futures(EUA)daily data,the GARCH-VaR model is used to investigate the impact of the Russia-Ukraine conflict on the price volatility and market risk of the EU carbon market,and the study confirms that the GARCH-VaR model can measure the volatility characteristics of the EUA yield series before and after the conflict,as well as measure the market risk level.The study confirms that the GARCH-VaR model can measure the volatility characteristics and measure the level of market risk of the EU carbon market before and after the Russia-Ukraine conflict.

关 键 词：俄乌冲突 GARCH模型 在险价值VAR 影响研究 

分 类 号：F831.5[经济管理—金融学] X196[环境科学与工程—环境科学]