基于在险价值的中国碳金融市场风险研究
A Study on the Risk of China’s Carbon Financial Market Based on Value at Risk
DOI: 10.12677/jlce.2025.141009, PDF,   
作者: 何晓庆：云南师范大学经济学院，云南 昆明
关键词: 碳金融；市场风险；VaR-GARCH模型；VAR模型；Carbon Finance； Market Risk； VaR-GARCH Model； VAR Model
摘要: 中国作为全球最大的碳排放国，每年CO2排放量的总量约占据世界总量的四分之一，也是世界最大的CDM (清洁发展机制)市场，吸引了世界的关注和投资。因此，分析碳金融市场风险显得十分重要，本文先通过VaR-GARCH模型计算出碳金融的市场风险，再建立VAR (向量自回归)模型来研究煤炭、原油、欧元汇率、上证指数对我国碳金融市场风险是否具有影响并分析其影响程度。实证结果表明，我国碳金融市场风险波动较大且受自身影响较大，除此之外，能源市场对碳金融市场风险也有较大影响。对此本文的建议是：构建完善的碳金融市风险防控体系、促进碳金融产品创新以及强化对能源供应突发事件的预判。
Abstract: As the world’s largest carbon emitter, China accounts for about a quarter of the world’s total annual CO2 emissions, and is also the world’s largest CDM (Clean Development Mechanism) market, attracting world attention and investment. Therefore, it is very important to analyze the risk of carbon financial market, and this paper first calculates the market risk of carbon finance through the VaR-GARCH model, and then establishes a VAR (vector autoregression) model to study whether coal, crude oil, euro exchange rates and Shanghai Composite Index have an impact on the risk of China’s carbon financial market and analyze the degree of its impact. The empirical results show that the risk of China’s carbon financial market fluctuates greatly and is greatly affected by itself; in addition, the energy market also has a greater impact on the risk of the carbon financial market. The suggestions of this paper are: to build a sound risk prevention and control system for the carbon finance market, promote the innovation of carbon finance products, and strengthen the prediction of energy supply emergencies.
文章引用：何晓庆. 基于在险价值的中国碳金融市场风险研究[J]. 低碳经济, 2025, 14(1): 71-85. https://doi.org/10.12677/jlce.2025.141009

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