基于溢出指数方法与DCC-GARCH模型的中国碳市场与能源市场间风险溢出效应研究

Research on Risk Spillover Effect between China’s Carbon Market and Energy Market Based on Spillover Index Method and DCC-GARCH Model

摘要: 随着全球气候变化问题的加剧，把握碳市场与能源市场之间的风险溢出效应对于实现减排目标和推动经济转型具有重要意义。本文采用溢出指数方法和DCC-GARCH模型对我国2014年7月1日至2024年6月28日碳市场和能源市场间的风险溢出效应进行了深入分析。研究发现，不同市场条件下，碳市场和能源市场间的风险溢出水平存在明显差异，且风险溢出水平呈现非对称性；广东碳市场与风能、太阳能和原油市场间风险关联性较小，湖北碳市场与能源市场间的风险关联性较大。本研究不仅丰富了碳市场风险溢出效应的理论框架，而且为政策制定者提供了防范系统性风险、优化市场监管的实证依据，具有重要的理论和实践意义。

Abstract: As the global climate change intensifies, it is very important to understand the risk spillover effect of carbon market and energy market in order to realize emission reduction targets and promote economic transition. This paper uses the spillover index method and the DCC-GARCH model to conduct an in-depth analysis of the risk spillover effects the carbon market and the energy market in China from July 1, 2014 to June 28, 2024. The results show that under different market conditions, there are obvious differences in the risk spillover levels between carbon market and energy market, and the risk spillover levels are asymmetrical. The risk correlation among Guangdong carbon market and wind energy market, solar energy market and crude oil market is small, and the risk correlation between Hubei carbon market and energy market is large. This study not only enriches the theoretical framework of carbon market risk spillover, but also provides policy makers with an empirical basis for preventing systemic risks and optimizing market supervision, which is of great theoretical and practical significance.