| With the further development of the EU carbon emission trading market and theimperative establishment of future carbon market in China, it is important to doresearch in the operation condition of the current EU carbon emission trading market,especially to analyze the yield rate fluctuation and the related market risk, which willhave a theory and practice influence to the investors of the market, the policy makersof the carbon emission trading market and the establishment of future carbon marketin China. On the one hand, it can help them to gain a detailed understanding ofvolatility characteristics of EU ETS future contracts and increase their awareness ofthe current carbon trading market in essence; on the other hand, it can help to find amore comprehensive method to measure and monitor the market risks.This paper takes the feature data of EU ETS as an example and analyze theDec07(the first stage), Dec09(crossing two stages)and Dec11(the second stage)comparatively. Firstly, we use the econometric models to analyze the yield ratesequence distribution of future contracts and know that the distribution has thecharacteristic of heteroscedasticity, volatility clustering，the peaked and fat-tailed, andthe yield rate volatility characteristics of carbon future contracts of the first stage issignificantly different from that of the second stage in EU ETS. Then, we useGARCH model, EVT model to calculate the dynamic VaR of carbon futures, whichmeans to establish GARCH-EVT-VaR model to measure the dynamic VaR of differentstages and to analyze the changes of risk characteristics; Finally, we analyze thereasons for the volatility and risk characteristics of carbon market by the combinationwith the particularity of carbon emission trading market and the impact of greatinternational events. And we help to provide with the policy guidance to help to set upthe Chinese carbon emission trading market in the consideration of our developmentstatus of carbon trading and Chinese conditions. |
PDF Full Text Request