Zhang Shaobin, Ji Hao, Tian Maoxi, Wang Binyao
College of Economics and Management, Northwest A&F University, 3 Taicheng Rd, Yangling, 712100 Shaanxi People's Republic of China.
Ann Oper Res. 2022 Jun 4:1-30. doi: 10.1007/s10479-022-04770-9.
In July 2021, China began its national emissions trading scheme, marking a new stage of development for the country's carbon market. This study analyzes the multidimensional correlation between carbon prices in the Guangdong pilot market and eight influencing factors from three perspectives (the international carbon market, energy prices, and China's economic situation), using the ARMA-GARCH-vine copula model. The CoVaR between the carbon price and each factor is then calculated using copula-CoVaR. The results show that the crude oil market plays the primary role in the vine structure, and that the carbon market is not strongly correlated with other markets. China's carbon market is still a regional market driven by government policy, and the international carbon and energy markets (especially the crude oil market) have upward risk spillover effects upon it. This indicates an asymmetric risk spillover between influencing factors and the carbon market. The findings of this study will help market participants prepare risk management strategies and make related investment decisions, and provide a reference for policy makers to formulate national emission trading scheme policies.
2021年7月，中国启动全国碳排放权交易市场，标志着中国碳市场进入新的发展阶段。本研究运用ARMA-GARCH-vine copula模型，从国际碳市场、能源价格和中国经济形势三个角度，分析广东试点市场碳价与八个影响因素之间的多维相关性。然后使用copula-CoVaR计算碳价与各因素之间的CoVaR。结果表明，原油市场在藤结构中起主要作用，碳市场与其他市场的相关性不强。中国碳市场仍是一个由政府政策驱动的区域市场，国际碳市场和能源市场（尤其是原油市场）对其具有向上的风险溢出效应。这表明影响因素与碳市场之间存在不对称风险溢出。本研究结果将有助于市场参与者制定风险管理策略并做出相关投资决策，为政策制定者制定全国碳排放权交易市场政策提供参考。
