中国碳市场与能源市场的时变溢出效应

随着中国碳交易体系日益完善，有必要系统性分析中国试点碳市场与能源市场之间的风险溢出效应。基于溢出指数模型，使用2014年4月4日—2019年6月28日的周度波动率，刻画中国碳市场与能源市场之间的静态波动溢出指数和时变的波动溢出指数。结果表明:中国碳市场与能源市场之间存在双向的溢出效应，不同区域碳市场与能源市场间溢出效应的特征、净溢出关系存在差异。通过滚动宽口方法计算的溢出指数呈现出明显的时变特征，市场间的总溢出水平主要在能源市场震荡期内呈现显著上升趋势。总体来看，在能源市场震荡时期中国碳市场接收到的风险溢出效应显著高于其他时期，但中国不同试点碳市场在相应时期受能源市场的波动影响程度存在一定的区域差异性。据此认为，下一步应加快形成中国碳市场与能源市场间内在稳定的价格机制，完善中国碳市场自身风险监测和预警机制，构建统一碳市场交易体系的同时，综合考量并有效协调各地区差异以促进碳交易体系稳定运行。

The Time-varying Spillover Effects between China's Carbon Markets and Energy Market——An Empirical Study based on Spillover Index Model

With the gradual refinement of China’s carbon trading system,it is necessary to systematically analyze the risk spillovers between China's carbon markets and energy markets.Based on spillover index model,the weekly volatilities from April 4,2014 to June 28,2019 were used to calculate the static spillover index and time-varying spillover index between China’s carbon markets and energy markets.The results showed that: there was a two-way spillover effect between China’s carbon markets and energy markets.The characteristics of the spillover effects and the net spillover relationships between diverse carbon markets and energy markets had differences.The spillover index calculated by rolling-window method showed significant time-varying characteristics. The total spillovers between markets showed a significant upward trend during the period of energy markets’ shocks. In general, during the energy markets’ shocks, the risk spillovers received by China ’s carbon markets were siginificant higher than in other periods, but there were certain regional differences in the extent of spillovers transmitted by energy markets in the corresponding period. Based on this, this paper proposes to form an internal stable price mechanism between China's carbon markets and energy markets, improve China's carbon markets’risk monitoring and warning mechanism, and comprehensively consider,then effectively coordinate the differences among various regions when establishing a unified carbon market trading system to promote the stable operation of China’s carbon trading system.