国内外碳交易市场价格联动性分析——基于DCC-GARCH模型
An Analysis of the Linkage between Chinese and International Carbon Trading Market
王晓宇 1罗东坤 1接桂馨2
作者信息
- 1. 中国石油大学(北京)工商管理学院,北京102249
- 2. 中国石油集团长城钻探工程有限公司,北京100101
- 折叠
摘要
随着我国碳排放权交易市场的建立和健全,如何衡量不同市场之间的相关性成为人们关注的焦点.基于DCC-GARCH模型,量化了国内外碳交易市场之间的动态相关系数.实证结果表明,我国的碳交易市场还处于分割状态,不同市场间的联动性较差.未来应进一步推动建立全国统一的碳交易市场,增强市场间的联系,实现资源的有效配置.
Abstract
With the establishment and improvement of China's carbon emissions trading market,how to measure the correlation between different markets has become the focus of attention.Based on the DCC-GARCH model,the dynamic correlation coefficient between domestic and foreign carbon trading market is quantified.Empirical results show that China's carbon trading market is still in a split state,the linkage between different markets is not strong.The future should further promote the establishment of a unified national carbon trading market,and enhance the relationship between the market to achieve the effective allocation of resources.
关键词
碳交易市场/DCC-GARCH/动态相关系数Key words
carbon trading market/DCC-GARCH/dynamic correlation coefficient引用本文复制引用
基金项目
国家科技支撑项目(2014BAC01B02)
国家科技重大专项(2016ZX05042-002-004)
出版年
2017
NETL
NSTL
维普
万方数据