Center for Energy and Environmental Policy Research, Beijing Institute of Technology
School of Management, Beijing Institute of Technology

欧盟碳排放体系(EU ETS)作为较成熟的碳市场,近些年来受碳配额缩紧、能源危机冲击,碳价陷入高位波动,交易风险骤升。套期保值作为风险管理的工具之一,备受碳市场参与者青睐。然而,传统套期保值策略往往忽略了碳期货与现货市场间风险传导的方向性特征,难以契合碳市场复杂多变的格局,套期保值的有效性不高。因此,构建了一种充分考虑双向溢出风险的套期保值策略(BSRH),旨在提高套期保值的有效性从而降低整体风险。首先,运用 BEKK-GARCH模型分析碳现货和期货市场之间的双向溢出效应。其次,引入综合考虑风险和收益的风险指标(R_index)来度量碳市场的风险。最后,建立了以R_index最小化的目标规划模型求解最优套期保值比。研究结果表明 BSRH 策略显著提升了套期保值的有效性,提升幅度可达 17.71%;在日度、周度以及月度持有期下,BSRH 策略套期保值有效性分别为 87%、96% 和 98%,相较于传统策略有效性更高。

The European Union Emissions Trading System (EU ETS), as a relatively mature carbon market, has been hit by the tightening of carbon quotas and the energy crisis in recent years, which has plunged the carbon price into high volatility, and the risk of trading has risen sharply. As one of the risk management tools, hedging is highly popular among carbon market participants. However, the traditional hedging strategy often ignores the directional characteristics of risk transmission between carbon futures and spot market, and it is difficult to fit the complex and volatile pattern of carbon market, so that the effectiveness of hedging is not high. Therefore, this paper constructs a bidirectional spillover risk hedging strategy (BSRH), which aims to improve the effectiveness of hedging and reduce the overall risk. Firstly, a BEKK-GARCH model is applied to describe the bidirectional spillover risk between the carbon spot and futures markets. Secondly,the risk indicator(R_index), which integrates risk and return, is introduced to measure the risk of the carbon market. Finally, an objective planning model is constructed to minimize R_index to solve the optimal hedging ratio. The results show that the BSRH strategy significantly improves the hedging effectiveness by 17.71%, and the hedging effectiveness of the BSRH strategy is as high as 87%, 96%, and 98% in daily, weekly, and monthly holding periods, respectively, which shows a higher hedging effectiveness than the traditional strategy in different holding periods.

国家自然科学基金资助项目(71871020、72271028)

赵鲁涛, 黄婷, 陈哲一, 安星宇. 欧盟碳市场的套期保值策略研究——来自双向溢出风险的分析. 煤炭经济研究. 2025, 45(1): 44-54

ZHAO Lutao, HUANG Ting, CHEN Zheyi, AN Xingyu. The hedging strategies in the EU ETS: An analysis from bidirectional spillover risk. Coal Economic Research. 2025, 45(1): 44-54