王影 张远晴 董锋
Estimates of Carbon Market Risk in China
Wang Ying, Zhang Yuanqing and Dong Feng
摘要：随着我国碳市场的成功试点和统一碳市场的建立，对我国碳市场的风险水平进行测度成为亟待解决的问题。本文分别运用GARCH-VaR和GARCH-CVaR构建我国碳市场风险测度模型并对四个试点碳市场的风险水平进行测度。结果发现：第一，在不同分布的假定下，各个碳排放权交易市场所适用的GARCH族模型不同，且GARCH族模型的结果揭示了各个市场的收益波动存在非对称性和杠杆效应，利多消息能比利空消息给各个市场带来更大冲击。第二，通过对比VaR与CVaR估计值，可以发现CVaR具有更优良的性质。同时，根据DLC统计量最小原则，找出各个碳排放权交易市场相应的计算CVaR效果最佳模型，方便更准确测度市场风险。最后，本文建议要提升市场流动性水平，降低流动性风险；建立碳市场价格稳定机制；加强市场风险的监测和管理，提高风险防范能力。
关键词：碳交易；市场风险；GARCH模型；CVaR值
Abstract: With the successful operation of China's carbon market pilot and the establishment of a unified carbon market, how to measure the risk level of China's carbon market has become a problem that needs to be solved urgently. This paper uses GARCH-VaR and GARCH-CVaR to construct estimates model of China's carbon market risk and examine the risk level of four pilot carbon markets. The main results are as follows. Firstly, under the assumption of different distributions, the GARCH family models applicable to various carbon emissions trading market are different. At the same time, the results of the GARCH family models show that there are asymmetries and leverage effects in the income fluctuations of various carbon emissions trading markets, and the bull news can bring more impact to the carbon emissions trading market than the bear news. Secondly, By comparing the VaR and CVaR estimated value, it can be found that CVaR has better properties. At the same time, according to the principle of minimum DLC statistics, the CVaR effect model for each carbon emission trading market is determined, which is convenient for each carbon emission trading market to estimate market risk more accurately. Finally, this article proposes to improve the level of market liquidity and reduce liquidity risks, establish a carbon market price stabilization mechanism, strengthen the monitoring and management of market risks, and improve risk prevention capabilities.
Keywords: Carbon Trading; Market Risk; GARCH Model; CVaR Value
基金项目：国家自然科学基金项目“禁售燃油车？环境效应、时机选择和实施策略研究”（71974188）、“2030年碳排放达峰目标视域下的我国区域碳市场模拟研究”（71573254），教育部人文社科基金工程科技人才培养专项“人工智能技术与能源产业融合发展和相关人才培养模式创新研究”（19JDGC011），江苏省社科基金基地项目“中国特色社会主义生态文明内涵、区域差异测度和制度体系建设—以江苏省为例”（17JDB004）。
全文： 
中国碳市场风险测度.pdf