Study On Dependence Structure Between Carbon Emission Allowances Markets And Oil Markets

With the development of the international situation to reduce carbon emissions, carbon emission rights market have become an important emerging financial markets. Carbon emission rights market operation not only has the relationship with carbon economy industrial chain, but also be related to the success of a global action to reduce emissions. Study of carbon emission rights market price fluctuations, and the Dependence Structure between the oil market and carbon emission rights market is of great significance.This paper uses carbon emission rights market representative asset CER and the representation of the oil market, WTI, Brent crude oil futures, based on the research of carbon emission rights market and the oil market dependency. First, this paper establish respectively CER and WTI crude oil CER and Brent crude two copulas connect function model;Second, the edge of the kernel density estimation function are used to determine their distribution, and parameter estimation for two portfolios; Finally, use the Euclidean distance to copulas connect function fitting test, and choose the optimal copulas connect function correlation analysis.The research results show that the optimal copulas function is Frank copulas, carbon and oil futures has positive correlation, but the correlation is very weak, and the carbon emission allowances market and the oil market have symmetrical dependent structure, the tail coefficient is zero, the market does not exist the conduction effect. The basic reason that Carbon emission rights market and the oil market has positively dependence Structure is the value chain of oil market and the carbon emission rights market existed, and the oil in the dominance of the world’s energy consumption structure and oil product carbon dioxide emission coefficient of absolute advantage strengthen the value chain.