中国碳市场压力指数的构建及应用

基于深圳、湖北、广东、北京、上海五个碳市场的交易数据，综合考虑各碳市场的纵向压力情况和横向相关性，构建日度中国碳市场压力指数（CCMSI），以反映中国碳市场总体风险表现，且将CCMSI与中国制造业PMI相结合，利用门限向量自回归（TVAR）模型对CCMSI的门限值和区制进行分析。结果表明，在2015年4月—2019年7月，中国碳市场高压力时期主要出现在2015年和2016年的履约期前后以及2016年制造业运行相对不景气的时期。而进入2017年后则均处于低压力时期，说明中国碳市场的运行逐渐趋于稳定。进一步分析各区域碳市场压力指数之间的相关性和格兰杰因果关系后发现，北京、上海、广东三个碳市场之间存在显著正相关关系和一定的联动性，一方面表明，这三个碳市场之间存在一定的传染风险，应加强监管；另一方面也表明，这三个市场之间可能存在建立统一碳市场的基础。

Construction and Application of the China Carbon Market Stress Index

To monitor symptoms of China's carbon market risk, the paper constructs the daily China Carbon Market Stress Index (CCMSI) based on the trading data of five regional carbon markets including Shenzhen, Hubei, Guangdong, Beijing and Shanghai, considering the vertical stress of each carbon market and horizontal correlations between them. Based on the CCMSI and China’s manufacturing PMI, the paper further analyzes the threshold and regimes of the CCMSI using a TVAR model. Results show that from April 2015 to July 2019, the high-stress regime of China's carbon market mainly occurs around the compliance period in 2015—2016 and the recession period of manufacturing industry in 2016. Carbon markets remains in low-stress regime since 2017, indicating that the operation of China's carbon market tends to be stable. Correlations and Granger causality between stress indices of regional carbon markets are also analyzed, suggesting significant positive correlations and certain linkages between carbon markets of Beijing, Shanghai and Guangdong. It indicates that certain contagion risk exists between the three carbon markets and also implies a basis for establishing a unified carbon market among the three.