经济政策不确定性对中国碳市场波动影响研究——基于多因素GARCH-MIDAS模型

Research on the Impact of Economic Policy Uncertainty on China’s Carbon Market Volatility—Based on the Multi-Factor GARCH-MIDAS Model

摘要: 本研究考察了经济政策不确定性对中国碳市场波动的影响和预测能力，重点研究了交易活跃的湖北和广东碳市场。研究考虑了全球经济政策不确定性和中国经济政策不确定性两个宏观变量，探讨它们对碳市场价格波动的影响。首先，运用GARCH-MIDAS模型评估经济政策不确定性指数对碳市场波动的影响，为进一步研究奠定基础。随后，结合全球和中国经济政策不确定性指数，开发多因素GARCH-MIDAS模型和单因素GARCH-MIDAS模型来预测碳市场波动。结果表明，在样本外预测精度上，将经济政策不确定性纳入考虑的多因素GARCH-MIDAS模型要优于单因素GARCH-MIDAS模型。此外，中国经济政策的不确定性显著影响碳市场的波动。具体来说，中国经济政策不确定性指数的预测精度超过全球经济政策不确定性指数。逐步纳入全球和中国的经济政策不确定性指数后，碳市场尤其是广东碳市场价格的预测能力变得更加强大。综上所述，投资者可以利用GARCH-MIDAS模型加上经济政策不确定性指数的方法来预测波动性并构建投资组合以提高经济回报。本研究为碳市场投资者和政策制定者更好地理解经济政策不确定性对碳市场的影响提供了宝贵的见解，从而能够制定更有效的政策措施。

Abstract: This study explores the influence of economic policy uncertainty on economic development and its forecasting ability on carbon market volatility in China, focusing on carbon markets in Hubei and Guangdong, which are heavily traded. Two macro variables, global economic policy uncertainty and Chinese economic policy uncertainty, are considered to explore their effects on carbon market price volatility. First of all, GARCH-MIDAS model is used to evaluate the impact of economic policy uncertainty index on carbon market volatility, which lays a foundation for fur-ther research. Then, combined with global and Chinese economic policy uncertainty index, multi-factor GARCH-MIDAS model and single-factor GARCH-MIDAS model are developed to predict carbon market volatility. The results show that the multi-factor GARCH-MIDAS model which takes economic policy uncertainty into account is superior to the single-factor GARCH-MIDAS model in out-of-sample forecasting accuracy. In addition, uncertainty about China’s economic policies significantly affects the volatility of the carbon market. Specifically, the Chinese economic policy uncertainty index is more accurate than the global economic policy uncertainty index. With the gradual inclusion of global and Chinese economic policy uncertainty indices, the predictive power of the carbon market, especially the Guangdong carbon market price, has become stronger. In summary, investors can use the GARCH-MIDAS model plus the economic policy Uncertainty index to predict volatility and construct portfolios to improve economic returns. This study provides valuable insights for carbon market investors and policymakers to better understand the impact of economic policy uncertainty on carbon markets and thus be able to formulate more effective policy measures.