| In 2020,the Chinese government clearly put forward the goals of "carbon neutrality" and "carbon emissions peak",and carbon finance began to enter the public’s vision.The official launch of the national carbon emission trading market in 2021 will usher in a new stage of development of China’s carbon emission trading market.Building a carbon emission trading market is a major institutional innovation to promote green and low-carbon development,control and reduce greenhouse gas emissions,and is also an important policy tool to achieve the two-carbon goal.However,in February 2022,when the war between Russia and Ukraine broke out and the prices of three traditional energy sources continued to rise,EU carbon futures prices fell off a cliff,impacting global carbon emission reduction activities.Therefore,the study of the correlation between carbon emission permits and traditional energy trading prices under extreme circumstances is enough to timely and accurately monitor the risks in the early stage of the establishment of the national carbon emission permits trading market,reduce risk transmission between markets and maintain market stability.First of all,this paper introduces the development status of domestic and foreign carbon emission trading markets and the three traditional energy markets in China,analyzes the interdependent mechanism of energy markets,conducts four groups of studies based on carbon emission trading prices in different domestic carbon markets,selects the optimal edge distribution model for eight variables in each group of studies and extracts the standardized residual according to AIC criterion.After verifying that the standardized residuals do not have heteroscedasticity and autocorrelation effect,probability integral transformation is carried out.The preparation for the subsequent construction of Vine Copula model.Secondly,three Vine Copula models are fitted to the residuals after probability integral transformation.The results show that: first,the correlation between Chinese carbon emission trading market and traditional energy market is weak,only there is a certain correlation with the domestic coal market.However,there is interdependence between the EU carbon quota trading market and the crude oil,coal and natural gas trading markets,which is related to the late start of Chinese carbon emission trading markets,the short development time,the insufficient degree of activity and the insufficient market functions.Second,from the perspective of carbon emission trading markets in different pilot markets in China,the correlation coefficient between the carbon emission trading markets in Shenzhen and Guangdong and the thermal coal market is positive,while the correlation coefficient between the carbon emission trading markets in Hubei and the thermal coal market is negative,which indicates that the development conditions of different pilot markets in China are different.Thirdly,the overall sample is divided into two sub-samples with COVID-19 as the cutoff point to study whether and how external shocks will affect the risk dependence between the carbon emission trading market and the traditional energy market.The results show that after external shocks,the interdependence between the carbon emission trading market and the natural gas market increases significantly,indicating that the volatility of the natural gas market will aggravate the overall volatility of the carbon emission trading market.The main reason is that within a period of time after the shock,coal price rose significantly.In order to reduce the risk caused by price fluctuations,enterprises choose natural gas,which has a more stable price,to replace coal,thus increasing the interdependence between the natural gas market and the carbon emission trading market.Finally,based on the empirical analysis results,this paper puts forward the pricing factors related to the carbon emission trading market and the traditional energy market,so as to provide reference for policy makers and market participants. |
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