欧盟碳排放权波动率断点及其影响过程研究
Research on the Break Point of Volatility of EU Car-bon Emission Rights and Its Impact Process
靳慧娜 1白祥1
作者信息
摘要
利用Bai-Perron多断点结构检验确定了2008-2022年期间欧盟碳排放权交易系统中存在的结构断点,并通过在传统AR-GARCH模型的均值方程和方差方程中加入过程虚拟变量,提出可以反映断点事件影响过程的过程虚拟变量研究方法.实证结果表明,欧盟碳排放权波动率发生了5次结构性突变.采用过程虚拟变量研究方法有效捕捉了断点对碳价收益和波动的事前、事后影响过程.
Abstract
The Bai-Perron multi-break point structure test was used to identify structural breaks in the Europe-an Union's emission right trading system from 2008 to 2022.By adding process dummy variables to the mean and variance equations of the traditional AR-GARCH model,a process dummy variable research method was proposed that can reflect the impact of break events on the process.The empirical results show that there have been five structural mutations in the volatility of EU carbon emissions.The use of process dummy variable re-search method effectively captures the ex-ante and ex-post impact of break points on carbon price returns and volatility.
关键词
结构断点/过程虚拟变量/碳排放权期望收益/碳排放权波动率Key words
Structural Break Point/Process Dummy Variable/Expected Return of Carbon Emission Rights/Volatility of Carbon Emission Rights引用本文复制引用
出版年
2024
NETL
NSTL
万方数据