碳-新能源市场尾部风险溢出效应研究  

Research on Tail Risk Spillover Effect of Carbon Market and New Energy Market

作　　者：王喜平[1] 于萍[1] WANG Xiping;YU Ping(Department of Economics and Management,North China Electric Power University,Baoding 071000,Hebei Province,China)

机构地区：[1]华北电力大学经济管理系,河北省保定市071000

出　　处：《分布式能源》2025年第1期23-31,共9页Distributed Energy

基　　金：河北省社会科学基金项目(HB23ZT008)。

摘　　要：探究碳-新能源市场风险溢出效应对于防范市场风险、维持碳市场和新能源市场健康平稳运行具有重要意义。运用尾部事件驱动网络模型,构造碳-新能源系统,基于系统、市场、个体等不同角度分析碳市场和新能源市场尾部风险溢出效应。研究发现:碳-新能源系统整体关联性具有明显的周期性特征,突发极端事件会使风险关联度攀升;样本期内,碳市场吸收新能源市场的风险大于向新能源市场输送的风险,碳市场和光伏子市场的联系更为密切;随着碳市场和新能源市场的完善,局域极值点窗口期的关联边数逐渐增多,网络结构越发复杂;在总体关联度局域极大值时,碳市场和光伏子市场主要起到风险溢出通道的作用,风电和新能源汽车子市场有向外溢出和双向溢出的功能。最后,从风险防控、市场建设、监督管理的角度提出建议。Exploring the risk spillovers of carbon market and new energy market is of great significance for preventing market risks and maintaining the healthy and stable operation of carbon markets and new energy markets.Tail-event driven network model is used to construct the carbon-new energy system,and the tail risk spilover effect of carbon market and new energy market is analyzed from different perspectives such as system,market and individual.The results show that the overall correlation between carbon and new energy system has obvious cyclical characteristics,and the sudden extreme events will increase the risk correlation degree.During the sample period,the risks absorbed by the carbon market from the new energy market are greater than those transmitted to the new energy market,and the carbon market and the photovoltaic sub-market are more closely related.With the improvement of carbon market and new energy market,the number of associated edges in the window period of local extreme point gradually increases,and the network structure becomes more and more complex.When the overall correlation degree is at the local maximum,the carbon market and photovoltaic sub-market mainly play the role of risk spillover channel,and the wind power and new energy vehicle sub-market have the function of spillover and bidirectional spillover.Finally,suggestions are put forward from the perspectives of risk prevention and control,market construction and supervision and management.

关 键 词：碳市场 新能源市场 尾部风险溢出效应 尾部事件驱动网络 

分 类 号：TK-9[动力工程及工程热物理] F[经济管理]