摘要
市场风险是区域碳金融交易风险的突出风险。通过异方差表示各区域碳市的极端风险;用GARCH(1,1)、ARCH(1)代表的ARCH族模型下的参数估计得到不同碳交易所对价格冲击的不同衰减速度;通过ARCH族类模型计算每天的VaR代表碳金融市场的市场风险。结果表明:不同碳交易所的极端风险、价格冲击的衰减速度、VaR的统计特征及模型估计的准确性有较大差异,对分区域风险监控提出了更多的挑战。应当构建全国统一的碳交易市场,以防控风险并保持碳交易市场的稳定发展。
Market risks are the prominent risks of the regional carbon market. In this paper,heteroscedasticity is used to represent the extreme risk of the regional carbon market. Different rate of decay to price shocks is get through estimated parameters which are computed by ARCH models,represented by GARCH（ 1,1） and ARCH（ 1） model.Daily VaR（ Value at Risk）,on behalf of the carbon market risks,are calculated through ARCH models.The results indicate that,extreme risk and the rate of decay to carbon price shocks as well as the VaR are all different in different regional carbon market,which is large challenge to monitor risks.So the government should consider to build a unified national carbon market to guard against the risks and maintain the stability of the carbon trading market.
出处
《武汉大学学报（哲学社会科学版）》
CSSCI
北大核心
2015年第2期86-93,共8页
Wuhan University Journal：Philosophy & Social Science
基金
国家社会科学基金重大招标项目(12&ZD059)
中国滨海金融协同创新中心项目
关键词
区域碳金融
异方差
ARCH族
VAR
统一碳市
regional carbon market
heteroscedasticity
ARCH
VaR
unified national carbon market
作者简介
Email：duli0711@126．com。
