不同情境下中国碳排放权交易市场的风险度量

以深圳、湖北、广东、上海及北京5个碳交易中心2015～2020年的日交易数据为基础,设置了Ave、Med、Max、Min4种交易情境,采用TGARCH-VaR模型对不同情境下的碳排放权交易市场风险进行了研究.结果表明,不同情境下碳排放交易市场风险存在差异,各情境的市场稳定性、政策响应度均存在一定规律:Ave情境碳现货收...

Risk measurement of China's carbon emissions trading market in different circumstances

Based on the daily trading data of 5 carbon trading centers in Shenzhen, Hubei, Guangdong, Shanghai, and Beijing from 2015 to 2020, four trading scenarios of Ave, Med, Max, and Min are set up, and the TGARCH-VaR model is used to analyze carbon in different scenarios. The market risk of emissions trading has been studied. The results show that there are differences in carbon emissions trading market risks in different scenarios, and there are certain laws in the market stability and policy response of each scenario:The fluctuation range of the carbon spot yield in the Ave scenario is the smallest, while the Max scenario and the Min scenario have fluctuations in the carbon spot yield. The larger fluctuation of the spot yield means that the risk of the carbon market in the Ave scenario is minimal. The carbon market in the four scenarios has a risk leverage effect, and the impact of bad news on market volatility is greater than that of good news. The Med and Min scenarios are highly dependent on policies, and are susceptible to greater volatility risks due to external factors; the carbon market in the Max scenario is the least sensitive to news, and it is difficult to reflect the market's proper regulatory role; The Ave scenario market is more stable and can better reflect the regulatory effect of the policy. The VaR value variance of the carbon market under the Ave scenario is the smallest, and the VaR value variance of the carbon finance market under the Max scenario is significantly higher than the other three markets, indicating that the carbon market price volatility risk is small in the Ave scenario; the carbon market risk is the smallest in the Ave scenario and the market is stable It is highly sexual and can better reflect the regulatory role of the policy. When China is unifying the carbon emission market, it should take into account the differences in various regions and enthusiasm of enterprises to participate in carbon trading, helps to implement the dual carbon goals.