JEM | 高强 曾恒源 孙光林 李剑锋：中国和欧盟碳市场的不确定性极端风险溢出效应

Gao Q., Zeng, H., Sun, G., & Li J., Extreme risk spillover from uncertainty to carbon markets in China and the EU—A time varying copula approach, Journal of Environmental Management, 2023, 326: 116634.

全文链接：

https://doi.org/10.1016/j.jenvman.2022.116634

摘要：排放交易计划（ETS）依赖于价格稳定性和可预测性等市场信号，这些信号受到金融市场和能源市场波动的影响。风险是价格稳定性的一个重要指标。本研究采用时变Copula方法，分析了不确定性（包括经济政策不确定性（EPU）、金融市场不确定性（VIX）和能源市场不确定性（OVX））对中国和欧盟碳市场的极端风险影响。本文还衡量了风险溢出的不对称性；也就是说，我们确定了增加和减少不确定性对ETS市场风险（稳定性）的影响。研究结果表明，经济政策、金融市场和能源市场不确定性的增加，将导致中国和欧盟ETS价格的下降。中国和欧盟的ETS市场风险受能源市场不确定性变化的影响最大，受经济不确定性变化的影响最小。尽管欧盟ETS的市场风险比中国ETS的市场风险更大，但欧洲的ETS价格更稳定。下行和上行分析表明，中国和欧洲碳市场的风险溢出具有显著的不对称性和动态性。具体而言，不确定性的下行波动对ETS市场风险的影响强于上行波动。我们的研究为政策制定者提高ETS市场价格稳定性和引导预期提供了有益的参考，为投资者预测市场风险提供了一个可靠的方法。

Abstract: Emissions Trading Schemes (ETS) rely on market signals like price stability and predictability, which are affected by the volatility of the financial market and the energy market. Risk is an important indicator of price stability. Using a time-varying copula method, this study analyzes the extreme risk impact of uncertainties (including Economic policy uncertainty (EPU), financial market (VIX) and energy market uncertainty (OVX)) on carbon markets in China and the European Union (EU). This paper also measures the asymmetry of that risk spillover; that is, we identify the impact of increasing and decreasing uncertainties on ETS market risk (stability). Our results show that increased uncertainty in economic policies, financial markets and energy markets will lead to a decline in ETS prices in China and the EU. Chinese and European ETS market risks are most significantly affected by energy market uncertainty changes, and least affected by economic uncertainty changes. Although European ETS markets are riskier than Chinese ETS markets, European ETS prices are more stable. Downside and upside analysis show that risk spillovers to Chinese and European carbon markets are significantly asymmetric and dynamic. Specifically, the downward volatility of uncertainty has a stronger risk impact on ETS than the upward volatility does. Our research provides a useful reference for policy makers to improve ETS market price stability and guide expectations, providing investors with a reliable method to predict market risks.

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