Capital University of Economics and Business, Beijing, China.
University of Wisconsin, Madison, Wisconsin, United States of America.
PLoS One. 2020 Aug 28;15(8):e0238033. doi: 10.1371/journal.pone.0238033. eCollection 2020.
Emission trading scheme (ETS), the most popular market-based instrument, is widely used to solve carbon emission problems in the world. With the development of carbon market, carbon asset has been a popular financial product to invest and the risk management becomes important for government, regulated enterprises and other investors. As carbon prices have tail characteristics, this paper explores the extremal risks between carbon markets in US, Europe and China using tail dependence correlation coefficients. The empirical analysis demonstrates the tail dependence structure between carbon markets in US. and Europe is the same sign, which indicates that it is unwise to hold these two carbon assets as a portfolio. Moreover, the co-movements between European Union Emission Trade Scheme (EU ETS) and China's carbon markets are partly significant, and the operation mechanisms in China should be improved. In addition, the tail dependence test among the carbon pilots in China shows diversity. Hubei carbon trading pilot, located in central China, has extremal dependence with all other selected pilots for its regulatory program operation. The findings give insight to the carbon market regulars to improve the operation mechanism and are also useful for the investors to manage their portfolios, policymakers to make practically applicable regulations, and relevant organizations to develop procedures.
排放交易计划 (ETS) 是一种应用广泛的市场工具，被广泛用于解决世界范围内的碳排放问题。随着碳市场的发展，碳资产已成为一种热门的投资金融产品，其风险管理对于政府、监管企业和其他投资者而言变得十分重要。由于碳价具有尾部特征，本文使用尾部相关系数探讨了美国、欧洲和中国碳市场之间的极端风险。实证分析表明，美国和欧洲碳市场之间的尾部相关结构具有相同的符号，这表明将这两个碳资产作为投资组合是不明智的。此外，欧盟排放交易计划 (EU ETS) 与中国碳市场之间存在部分显著的共同变动，中国的运行机制有待改进。此外，中国碳试点之间的尾部依存性检验结果显示出多样性。位于中国中部的湖北碳交易试点因其监管方案的运行与所有其他选定的试点具有极端的依赖性。研究结果为碳市场的监管者提供了改进运行机制的思路，也为投资者管理投资组合、政策制定者制定实际适用的法规以及相关组织制定程序提供了参考。
