中国碳市场与资本市场的风险溢出效应探究

• 作者： 李天鑫 ¹
• 作者单位：
  1.  暨南大学经济学院
• 发布时间：2024-09-24

摘要: 随着“双碳”目标的提出，碳排放权逐渐受到投资者和监管者的广泛关注。本文从双向风险角度出发，对近年碳市场与资本市场的动态相依关系和风险溢出效应进行研究。研究发现：碳市场与资本市场存在一定的时变正相依关系，但在长期内无显著波动趋势；碳市场的波动及风险高于资本市场；碳市与股市存在双向的强极端风险溢出，与债市存在双向的弱极端风险溢出。

Abstract: With the proposal of the “carbon peaking & carbon neutrality” goal, carbon emission rights have gradually attracted the attention of investors and regulators. From the perspective of two-way risk, this paper studies the dynamic dependence relationship and risk spillover eff ect between China’s carbon market and capital market in recent years. The study reveals that there is a certain time-varying positive dependence between the carbon market and the capital market, but there is no signifi cant fl uctuation trend in the long term; the volatility and risk of the carbon market are higher than that of the capital market; there are two-way strong extreme risk spillovers in the carbon market and stock market and two-way weak extreme risk spillovers in the carbon market and bond market.

• 分类： 应用经济学 >> 国民经济学
• 稿件状态： 已在期刊出版
期刊名称： 《中国商论》 2024年 第9期
• 引用： PSSXiv:202409.01786 (或此版本 PSSXiv:202409.01786V1)
  DOI:10.19699/j.cnki.issn2096-0298.2024.09.107
  CSTR:32012.36.PSSXiv.202409.01786
• 推荐引用方式： 李天鑫.中国碳市场与资本市场的风险溢出效应探究.中国商论,2024(9).[DOI:10.19699/j.cnki.issn2096-0298.2024.09.107] (点此复制)