我国碳排放与期货市场间的风险溢出效应研究

Research on Risk Spillover Effect between Carbon Emission and Futures Markets in China

摘要: 本论文利用Diebold-Yilmaz指数溢出模型，构建我国各区域碳市场与能源类期货、金融类期货的溢出效应模型，由此探索其跨市场关联机制及其影响的风险传导路径。结果表明，溢出效应在碳市场与能源市场之间具有时效性，受到环境政策、经济形势和技术进步等因素的影响。不同地区的溢出效应体系具有异质性，存在跨区域市场碳价风险对冲或套利可能。管理者和政策制定者应根据地区特点灵活调整管理政策，保留地方市场并加强地区间合作与协调，以实现全局碳减排目标，促进碳市场的健康发展。

Abstract: This paper adopts the Diebold-Yilmaz spillover index model to construct a spillover effect model between China’s regional carbon markets and energy-related futures, as well as financial futures, aiming to explore their cross-market linkage mechanisms and the risk transmission pathways. The results indicate that the spillover effects between carbon markets and energy markets are time-sensitive and influenced by factors such as environmental policies, economic conditions, and technological advancements. The spillover effect systems in different regions exhibit heterogeneity, presenting possibilities for cross-regional carbon price risk hedging or arbitrage. Managers and policymakers should flexibly adjust management policies based on regional characteristics, preserve local markets, and enhance inter-regional cooperation and coordination to achieve global carbon reduction goals and promote the healthy development of carbon markets.