运用分位数模型探究气候政策与能源市场间的系统性风险： 来自中国碳约束政策市场的启示

关键词:

摘要

气候变化带来显著系统性风险，碳约束政策正在重塑能源市场结构与稳定性。本文考察中国气候风险指数（CPU）、碳政策市场（CEA）与传统及清洁能源市场之间的关联，采用分位数时频溢出模型进行分析。主要结果表明：首先，在极端市场波动下，系统性风险溢出增强，且在上行市场条件下更为显著；其次，高波动上行情景中短期溢出占主导，而在正常或下行市场情景下长期溢出更为突出；最后，在极端上行波动下，原油市场是主要风险传导者，而在正常市场条件下清洁能源市场表现出更高稳定性。上述发现可为政策制定者与投资者在风险缓释、组合优化与能源转型推进方面提供参考。

文献引用

• [1]Wu R,Li M,Liu F,et al.Adjustment strategies and chaos in duopoly supply chains:The impacts of carbon trading markets and emission reduction policies[J].International Review of Economics and Finance,2024,95103482-103482. [2]Guangcheng M,Jiahong Q,Yumeng Z.Does the carbon emissions trading system reduce carbon emissions by promoting two-way FDI in developing countries? Evidence from Chinese listed companies and cities[J].Energy Economics,2023,120. [3]Jun W,Xin-Xin Z,Chun-Ping C.The impact of extreme events on energy price risk[J].Energy Economics,2021,99. [4]Jianhui L,Xuehong Z,Jinyu C.Dynamic spillovers across oil,gold and stock markets in the presence of major public health emergencies[J].International Review of Financial Analysis,2021,77. [5]Huwei W,Chien-Chiang L,Fengxiu Z.How does fiscal policy uncertainty affect corporate innovation investment? Evidence from China's new energy industry[J].Energy Economics,2022,105. [6]Nicholas S.Towards a carbon neutral economy:How government should respond to market failures and market absence[J].Journal of Government and Economics,2022,6. [7]Dong,H.,Liu,Y.,Zhao,Z.,Tan,X.,& Managi,S.Carbon neutrality commitment for China:from vision to action[J].Sustainability Science,2022,17(5),1741-1755. [8]Diebold X F,Yilmaz K.Better to give than to receive:Predictive directional measurement of volatility spillovers[J].International Journal of Forecasting,2012,28(1):57-66. [9]Diebold X F,Yılmaz K.On the network topology of variance decompositions:Measuring the connectedness of financial firms[J].Journal of Econometrics,2014,182(1):119-134. [10]Jozef B,Tomáš K.Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk*[J].Journal of Financial Econometrics,2018,16(2):271-296. [11]Bonaccolto G,Caporin M,Iacopini M.Extreme time-varying spillovers between high carbon emission stocks,green bond and crude oil:Comment[J].Energy Economics,2024,132107469. [12]Gavriilidis,K.Measuring Climate Policy Uncertainty.SSRN Scholarly Paper,2024. A.J B,E.G M,R.M Y.Does weather,or energy prices,affect carbon prices?[J].Energy Economics,2020,(prepublish):105016.