The Institute for Sustainable Development, Macau University of Science and Technology
School of Business, Macau University of Science and Technology
Baima Lake Laboratory

在以低碳发展应对全国气候变化的共识下,继电力市场后,将其他高排放行业纳入全国碳市场势在必行。探究2021年至2023年期间全国碳市场、能源市场和高排放行业市场间的风险溢出效应。通过采用TVP-VAR-DY模型,使动态溢出效应的测度更加平滑。研究发现,全国碳市场、能源市场与高排放行业市场存在时变的双向不对称溢出效应,特别是在极端风险事件下,市场之间的波动溢出效应显著增强。电力等高排放行业市场主要受碳市场波动的影响,而新能源行业风险主要影响原油期货市场。重大社会经济事件可导致能源市场在短期内成为风险传递的主导因素,但随着时间推移,高排放行业会转为风险输出者。最后,提出了关于中国碳市场建设、能源市场风险防范和高排放行业能源结构优化等方面的建议。

Under the consensus to address national climate change with low-carbon development, it isimperative to include other high-emission sectors in the national carbon market after the electricity mar-ket. This study investigates the risk spillover effects among the national carbon market, the power mar-ket, and the markets of high-emitting sectors from 2021 to 2023. The study optimizes the measurementof the dynamic spillover effect through the TVP-VAR-DY model. It is found that there are time-var-ying bidirectional asymmetric spillovers among the national carbon market, the energy market, and themarkets of high-emission industries. The volatility spillovers between the markets are significantly en-hanced, especially in the case of extreme risk events. Markets in high-emission sectors such as elec-tricity are mainly affected by fluctuations in the carbon market, while risks in the new energy sectormainly affect the crude oil futures market. Major socio-economic events can make energy markets domi-nant in risk transmission in the short run, but over time, high-emission industries become risk export-ers. Finally, we make recommendations for the construction of China′s carbon market, risk preventionin the energy market, and optimization of the energy structure of high-emission industries.

国社科一般项目《全球大宗商品价格波动的风险传导机制、路径与网络结构研究》(23BJY063)

任峥宇,陈省宏,唐健,等.中国碳市场、能源市场和高排放行业间的溢出效应研究———基于TVP-VAR-DY模型[J].能源环境保护,2024,38(3):162-172.

REN Zhengyu, Hsing Hung Chen, TANG Jian, et al. Risk effects among China′s carbon market, energy market,and high emission industries: Based on TVP-VAR-DY model[J]. Energy Environmental Protection, 2024, 38(3): 162-172.