基于非对称性的碳市场与新能源市场间动态风险溢出效应研究  

Research on Dynamic Risk Spillover Effects Between Carbon Market and New Energy Market Based on Asymmetry

作　　者：王喜平[1] 于萍 WANG Xiping;YU Ping(Department of Economics and Management,North China Electric Power University,Baoding 071003,China)

机构地区：[1]华北电力大学经济管理系,河北保定071003

出　　处：《电力科学与工程》2024年第7期26-33,共8页Electric Power Science and Engineering

基　　金：河北省社会科学基金资助项目(HB23ZT008)。

摘　　要：为有效应对碳金融风险的发生和传导,以碳市场、新能源市场的市场价格作为研究对象,基于时变Copula-CoVaR模型,探究两市场间的风险溢出方向及动态特征。研究表明:碳市场和新能源市场间存在正向相依关系以及正向非对称的风险溢出效应,其中碳市场是主要的风险接收方;碳市场和各新能源市场的风险溢出强弱顺序与相依性程度顺序一致,依次是:新能源市场、风电市场、光伏市场、新能源车市场;市场自身完善程度、政府宏观政策、外部突发事件等因素都会加剧市场间的风险溢出波动。To effectively address the occurrence and transmission of carbon finance risks,the market prices of carbon market and new energy market are taken as research objects.Based on the time-varying Copula-CoVaR model,the risk spillover direction and dynamic characteristics between the two markets are explored.Research has shown that there is a positive interdependence and a positive asymmetric risk spillover effect between the carbon market and the new energy market,with the carbon market being the main risk recipient;the order of risk spillover strength and degree of interdependence in the carbon market and various new energy markets is consistent,which is:new energy market,wind power market,photovoltaic market,and new energy vehicle market;factors such as the degree of market perfection,government macroeconomic policies,and external emergencies can exacerbate the risk spillover fluctuations between markets.

关 键 词：碳市场 新能源市场 动态风险溢出 时变Copula-CoVaR模型 非对称性 

分 类 号：TK-9[动力工程及工程热物理] F832.5[经济管理—金融学]