碳波动关联性与外部不确定性的作用:来自中国的证据

IF 3.7 4区 经济学 Q1 BUSINESS, FINANCE
Huayi Chen , Huai-Long Shi , Wei-Xing Zhou
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引用次数: 0

摘要

本文研究了中国碳试点市场之间的波动关联性。利用 Diebold 和 Yilmaz(2014 年)基于时变参数向量自回归模型的方法和多种参数设置,我们得到了 40 个结果的平均值来捕捉市场间的波动关联性。我们进一步使用线性和非线性自回归分布滞后模型来评估外部不确定性在形成波动关联性中的作用。研究发现:(1)广东(重庆)是波动率关联度最大的净发送方(接收方);(2)波动率关联度呈下降趋势,其周期波动由合规交易驱动;(3)波动率关联度与外部不确定性负相关。经济政策和气候政策指数都会对波动率关联性产生影响。我们建议引入做市商来提高市场流动性,减少风险扩散。我们还强调了进一步研究的必要性,以确定影响不同市场的特异性因素。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Carbon volatility connectedness and the role of external uncertainties: Evidence from China

This paper investigates the volatility connectedness between China’s carbon pilot markets. Using Diebold and Yilmaz (2014)’s approach based on the time-varying parameter vector autoregression model with a variety of parameter sets, we obtain the average across 40 results to capture the volatility connectedness between the markets. We further use the linear and nonlinear autoregressive distributed lag models to assess the role of external uncertainties in shaping volatility connectedness. Several findings emerge: (1) Guangdong (Chongqing) is the largest net transmitter (receiver) in terms of volatility connectedness; (2) Volatility connectedness shows a declining trend, with its cycle fluctuations caused by compliance-driven trading; (3) Volatility connectedness correlates negatively with external uncertainties. Both economic policy and climate policy indices have impacts on volatility connectedness. We recommend introducing market makers to enhance market liquidity and reduce risk spreading. We also highlight the need for further research to pinpoint idiosyncratic factors that affect different markets.

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来源期刊
CiteScore
5.70
自引率
2.40%
发文量
53
期刊介绍: The purpose of the journal is also to stimulate international dialog among academics, industry participants, traders, investors, and policymakers with mutual interests in commodity markets. The mandate for the journal is to present ongoing work within commodity economics and finance. Topics can be related to financialization of commodity markets; pricing, hedging, and risk analysis of commodity derivatives; risk premia in commodity markets; real option analysis for commodity project investment and production; portfolio allocation including commodities; forecasting in commodity markets; corporate finance for commodity-exposed corporations; econometric/statistical analysis of commodity markets; organization of commodity markets; regulation of commodity markets; local and global commodity trading; and commodity supply chains. Commodity markets in this context are energy markets (including renewables), metal markets, mineral markets, agricultural markets, livestock and fish markets, markets for weather derivatives, emission markets, shipping markets, water, and related markets. This interdisciplinary and trans-disciplinary journal will cover all commodity markets and is thus relevant for a broad audience. Commodity markets are not only of academic interest but also highly relevant for many practitioners, including asset managers, industrial managers, investment bankers, risk managers, and also policymakers in governments, central banks, and supranational institutions.
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