电力,煤炭和碳市场之间的多维风险溢出:来自中国的经验证据
Jian Tang1,2, Zheng Yu Ren2, Hsing Hung Chen3
1Zhejiang Baima Lake Laboratory Co., Ltd., Hangzhou, 310051, China.
Environmental science and pollution research international
|December 1, 2023
概括
中国的电力,煤炭和碳市场显示出重大风险溢出影响,特别是在极端事件期间. 广东的碳市场和煤炭市场在传递这些金融风险方面发挥着关键作用.
科学领域:
- 环境经济学环境经济学
- 金融市场分析 金融市场分析
- 能源政策 能源政策
背景情况:
- 中国致力于实现其"双碳"目标,需要了解市场间的动态.
- 碳市场是管理排放的关键政策工具.
- 能源和金融市场之间的相互依赖需要调查.
研究的目的:
- 分析中国电力,煤炭和碳市场中的风险溢出效应.
- 为了确定风险传播的方向和不对称性.
- 评估极端事件对市场波动的影响.
主要方法:
- 使用滚动窗技术和DY溢出指数.
- 分析了2017年1月3日至2022年12月16日的样本数据.
- 研究了双向不对称的溢出效应.
主要成果:
- 证实了显著的长期,双向不对称风险溢出效应.
- 确定广东碳市场是风险交换的关键枢纽.
- 煤炭市场显示净风险溢出到广东和湖北碳市场.
- 极端风险事件显著放大了波动性溢出效应.
结论:
- 这些市场之间的风险溢出影响是随时间变化的,并受到极端事件的影响.
- 这些发现对风险管理策略有影响.
- 了解这些动态对于构建多元化和有弹性的能源市场至关重要.
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