| Global climate change has brought serious challenges to the development of human society,such as the sustainable development of the ecological problems,the unbalanced development of the world economy,global environmental governance cooperation and other issues.How to address climate issues and low carbon development has become a social responsibility and development consensus for global human.At present,under the urgent situation of global emission reduction and the restriction of international conventions and agreements,carbon emission reduction has expanded from the field of technology to the field of financial markets.Carbon emission rights have become a special asset and scarce resources through market transactions,thus the carbon trading market has been formed.The fluctuation of product price in carbon trading market is affected by various factors.Besides the supply and demand of carbon trading market such as energy market,it is more vulnerable to macroeconomic,political changes,climate change,quota allocation,financial crisis and other factors.The fluctuation of these factors will bring uncertainty to carbon trading market.Therefore,the identification and measurement of carbon trading market risk is the key to the healthy development of carbon trading market.Scientific and reasonable measurement is conducive to the implementation of effective risk management in carbon trading market and an important guarantee to achieve global low-carbon development and emission reduction effect.Different from the existing research on the cognitive scope and research methods of carbon trading market risk,firstly,this paper expands the theory of carbon trading market risk,defines the market risk of carbon trading from the broad perspective of market risk,then measures the dependence of market risk factors from both structure and degree,and on this basis,integrates the measurement of market risk.The main innovative work and research conclusions are as follows:(1)Studying the mechanis m and theory of generalized carbon trading market riskThis paper is different from the previous studies which only regard the fluctuation of carbon asset prices as the conceptual recognition of the risk of carbon trading market.Firstly,considering the particularity of carbon trading market,this paper redefines the concept of carbon trading market risk from the perspective of multi-source of carbon trading market risk.It not only incorporates the behavioral characteristics of carbon price into market risk,but also regards the fluctuation of exchange rate price and interest rate price of capital market which is closely related to the activities of carbon trading as multi-source market risk factors.Then,the integration mechanism of risk factors in carbon trading market is discussed and analyzed.The causes and characteristics of carbon price fluctuation,exchange rate fluctuation and interest rate fluctuation of risk factors in each market are explained.The interaction between market risk factors and two factors is analyzed.Based on the perspective of international financial market integration,the mechanism of linkage and integration of risk factors in carbon trading market is analyzed.Finally,aiming at the problem of how to realize risk integration measurement in carbon trading market,the theoretical framework of "integration problem-integration principle-integration foundation-integration process-integration realization" is elaborated.(2)Constructing an integration model of carbon trading market risk based on factor dependenceOn the basis of the concept of risk the integration management,this paper constructs the carbon trading market risk factor dependence based on integrated model.Firstly,ARMA-CARCH filtering model is constructed to characterize the marginal distribution characteristics of factors in carbon trading market risk.Then,two common models of Vine Copula,C-Vine and D-Vine,are discussed to measure the dependence of market risk factors in multi-source carbon trading.Finally,the Monte Carlo simulation idea of risk integration VaR measurement in carbon trading market is given.This modeling research can provide an extensible methodological support for the measurement of market risk factors with multi-source symbiosis in carbon trading.In addition,the empirical results show that when there is common information overlap in the carbon trading market,Vine Copula can filter out the ineffective information transmission among market risk factors to a certain extent,and capture the overall risk of 1+1<2,which can avoid overestimating market risk;when there is private information spillover in the carbon trading market,Vine Copula can mine synergistic amplified fluctuation information,measuring overall risk to 1+1>2,that prevents underestimating market volatility.Empirical results further prove that the integration model of carbon trading market risk based on factor dependence is scientific and reasonable.(3)Studying the heterogeneous dependence of risk factors in carbon trading marketThis paper empirically studies the dependence of market risk factors on the sample data of carbon trading.(1)Firstly,test its own marginal distribution characteristics and estimate its volatility model,then find that the carbon trading market has the attributes of general financial activities.Carbon price,exchange rate and interest rate of risk factors in carbon trading market have non-linear characteristics such as autocorrelation and heteroscedasticity of financial sequence.The return of each market risk factors rejects the assumption of independent and identical distribution,and the distribution characteristics are heterogeneous,so multivariate Copula function is not suitable to measure the heterogeneous dependence of market risk factors in carbon trading.(2)Then,the results of testing and measuring the dependence of risk factors in carbon trading market show that there are differences between carbon trading quota market and carbon trading project market,and Vine Copula describes heterogeneous dependence better.In carbon trading quota market,exchange rate is the central point,the market linkage medium of carbon price and interest rate that acts as the source of risk spillover and contagion.The PCC functions are Joe Copula and Frank Copula,which indicates the heterogeneity of dependence structure and degree between factors.In the carbon trading project market,carbon price is the central point,the market linkage medium of exchange rate and interest rate.The PCC function is Student-t Copula,which shows that the dependence structure among factors is the same and just the degree is different.(4)Studying market risk of carbon trading in different market patterns and development stagesThis paper investigates whether there are performance differences in patterns and stages of in carbon trading market risk through the sample data of carbon trading quota market and project market as well as the two commitment periods of Kyoto Protocol.(1)The market risks of different carbon trading patterns are heterogeneous.Compared with the VaR of single market risk factor in carbon trading quota market,the carbon products price fluctuation brings the greatest risk,followed by interest rate market risk,exchange rate market risk is relatively small and stable as a whole;while in carbon trading project market,the carbon products price risk is the greatest,followed by foreign exchange market risk,and the weakest is interest rate risk.As far as the overall risk is concerned,carbon trading project market is greater than quota market.(2)The market risk at different development stages is heterogeneous.The integration market risk of the post-Kyoto stage is greater than that of the Kyoto stage for both quota market and project market.The risk source of the quota market is carbon price fluctuation in Kyoto stage,while the risk source becomes interest rate in post-Kyoto stage;the risk source of the project market is the fluctuation of carbon price in both stages.To sum up,this paper conducts research on carbon trading market risks from theory,method and application,and provides a scientific and reliable decision-making basis for relevant participants in carbon trading market to participate in regulatory and investment activities. |
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