外生冲击下碳市场与外汇市场的动态风险溢出效应研究  

Dynamic Risk Spillover Effects Between Carbon and Foreign Exchange Markets Under Exogenous Shocks

作　　者：陈张杭健 宫开 CHEN-ZHANG Hangjian;GONG Kai

机构地区：[1]安徽大学经济学院,安徽合肥230601

出　　处：《安徽大学学报(哲社版)》2025年第1期155-165,共11页Journal of Anhui University(Philosophy and Social Sciences Edition)

基　　金：国家自然科学基金青年项目“动态交互视角下社交媒体信息扩散与股市风险传染研究”(72201003);安徽省中青年教师培养行动优秀青年教师培育项目“高水平安全背景下企业生物多样性风险管理:基于计算实验金融方法”(YQYB2024002)。

摘　　要：汇率能够通过能源价格和国际贸易等渠道影响企业生产、冲击碳价,使得外汇市场与碳市场的联系愈发紧密。基于时变参数向量自回归溢出指数(TVP-VAR-DY)模型的计量研究发现,两者间的风险溢出效应存在明显的时变特征,且风险主要由外汇市场向碳市场溢出。其中,人民币兑美元汇率的波动对碳价的影响最大。此外,汇率制度改革会加强外汇市场向碳市场的风险溢出,而美国货币政策调整、中美贸易摩擦和异常天气的冲击对此溢出效应存在抑制作用。基于上述市场间风险溢出规律构建的单资产交易策略和碳资产与人民币兑美元汇率的对冲策略,分别能够获得7.5%和9.6%的平均收益。推动能源产品人民币计价和加快引入碳金融衍生工具,对稳定碳价、促进“双碳”目标达成至关重要。Exchange rate can influence enterprise production and carbon price through energy price and international trade,which makes the linkage between foreign exchange and carbon markets become closer.Based on the TVP-VAR-DY model,it is found that there are obvious time-varying characteristics of risk spillover effects between them,and the risk is mainly spilled over from the foreign exchange market to the carbon market.Among them,the fluctuation of RMB-dollar exchange rate has the greatest impact on carbon price.In addition,the reform of the exchange rate system will strengthen the risk spillover from the foreign exchange market to the carbon market,while this spillover effect may be inhibited by the adjustment of the U.S.monetary policy,the trade friction between the U.S.and China and extreme weather.The single-asset trading strategy and the hedging strategy between carbon assets and the RMB-dollar exchange rate based on the abovementioned risk spillover patterns,can obtain an average return of 7.5%and 9.6%respectively.Promoting RMB-denominated energy products and accelerating the introduction of carbon financial derivatives are crucial for stabilizing the carbon price and promoting the achievement of the“dual-carbon”goal.

关 键 词：碳市场 外汇市场 风险溢出 外生冲击 TVP-VAR-DY 

分 类 号：F832.5[经济管理—金融学] X196[环境科学与工程—环境科学]