中国碳市场与股票市场的风险溢出效应及机制研究——基于行业异质性视角
Research on the Risk Spillover Effect and Mechanism of China's Carbon Market and Stock Market——From the Perspective of Industry Heterogeneity
刘超 1张薇2
作者信息
- 1. 北京工业大学经济与管理学院(北京,100124)
- 2. 北京工业大学经济与管理学院
- 折叠
摘要
本文系统研究中国碳市场与股票市场的风险溢出效应及机制.结果表明:(1)中国碳市场与股票市场具有双向风险溢出效应,中长期频域尺度下风险溢出水平较高,时域尺度下具有四个明显的波动时段;碳市场与金融地产行业、公用事业行业的风险净成对溢出水平较强,主要消费行业等相对于碳市场的风险净成对溢出效应较强.(2)气候变化、经济政策不确定性、宏观经济、国际碳市场波动因素对市场间风险溢出的冲击效应在不同时间段内动态变化.(3)在全国碳排放交易体系启动、新冠疫情暴发初期与全国碳排放权交易市场启动时期,冲击效应随滞后期延长而动态变化.
Abstract
This paper systematically studies the risk spillover effect between China's carbon market and stock market and its mechanisms.The results show that:(1)China's carbon market and stock market have a bidirectional risk spillover effect,with higher risk spillover levels in the medium to long term frequency domain scale and four obvious fluctuation pe-riods in the time domain scale.The net pairwise spillover of risk between carbon market and financial real estate industry,carbon market and utility industry are relatively strong.And the net risk spillover effect of major consumer industries to the carbon market is relatively strong.(2)The impact of climate change,economic policy uncertainty,macroeconomic factors,and international carbon market fluctuations on risk spillovers between markets dynamically changes over different time periods.(3)During the launch of the national carbon emission trading system,the initial stage of the COVID-19 and the launch of the national carbon emission trading market,the impact effect dynamically changes with the extension of the lag periods.
关键词
碳市场/股票市场/风险溢出/行业异质性/时频域Key words
carbon market/stock market/risk spillover/sectoral heterogeneity/time-frequency band引用本文复制引用
基金项目
国家自然科学基金(62073007)
国家自然科学基金(72372003)
国家自然科学基金(61773029)
出版年
2024
NETL
NSTL
万方数据