The Study Of The Carbon Price Fluctuations And The Carbon Market Risk Under The Structural Breaks

Global warming has become a major challenge of the society development that humans are facing in in the 21 st century,and the fossil energy consumption to produce CO2 emission is the main cause of global warming.To achieve carbon reduction targets,the carbon market and carbon financial system were gradually established,but due to the carbon market development is not mature enough,it is easy to be affected by the quota allocation system,information disclosure,the financial crisis and many other external factors,so that the carbon price exists extreme wave phenomenon.These shocks are likely to make the carbon price fluctuation rule change,causing the structural breaks of price occurs,and then affect the measure of the carbon market risk.Therefore,it is necessary to study the international carbon market deeply,put the structural breaks into the study of the carbon price fluctuations and measure the carbon market risk with the combination of the theory of value at risk,the extreme value theory and theory of variance.On the one hand,it would enrich the study of carbon emissions trading price,expanding the three theories in the field of carbon finance;On the other hand,as a large nation of carbon dioxide emissions,China had launched seven regional carbon trading pilot provinces and cities after 2013,but the carbon market in China is not mature,studying the price fluctuations and risks of the international carbon market is conducive for our country to better participate in international carbon trading financial markets and it has the vital significance for our country to build a low carbon economy development characteristics of carbon financial market system practical.Scholars at home and abroad have researched in-depth on carbon emissions trading,the theory is relatively rich,and have laid the foundation for the study of this paper,but there are also some short comings.In the area of structural breaks,most researches only study mean structural breaks or variance structural breaks,and no scholars study it from two angles of mean and variance at the same time to test structural breaks of carbon price in the carbon trading market.In the area of carbon trading market risk,most scholars ignored the effects brought by the structural breaks on risk research.Based on the above studies,this paper tries to study structural breaks from two angles of mean and variance at the same time,using the Bai-Perron structural breaks test and ICSS algorithm,analyze the effects of structural breaks to the carbon price time series by building a modified GARCH model.In that way,we can correctly understand the real law of the carbon price fluctuations.On these basis,we'll use the modified GARCH-EVT-VaR model to measure the risk of carbon trading market under structural breaks combining the theory of EVT and VaR.This paper mainly studies the following contents:Firstly,this thesis combs of the related researches.This thesis collected the related researches studying about structural breaks and financial market risk measures at home and abroad,especially studies aiming at carbon emissions trading market.On the basis of the existing studies and insufficient,this thesis puts forward that the main content of this study is the analysis of the carbon price real fluctuations rules and the carbon trading market risk problem in the case of fully considering the structural breaks.Secondly,study the classification of the structural breaks,namely the mean and variance structural breaks.Test the two kinds of structural breaks with two kinds of inspection models of the structural breaks including Bai-Perron test and modified ICSS algorithm.The outcomes will be respectively put into the GARCH model equation of the mean and variance equation as virtual variables,in order to lay the foundation for subsequent empirical analysis of persistent characteristics under the structural breaks of the carbon price fluctuations.Thirdly,this thesis selects the existing carbon future price from 2013 to 2016 in the third phase of the EU ETS system as the sample data,uses the Bai-Perron test and the modified ICSS algorithm to test the carbon price structural breaks,and find out the related economic events which is likely to cause influences on international carbon market.On the basis,analyze and compare the persistent characteristics under the different types of structural breaks of the carbon price fluctuations.Fourthly,combining value at risk theory,heteroscedasticity theory and extreme value theory,building modified GARCH-EVT-VaR model,and using the POT model in extreme theory to determine the distribution of GDP,this thesis analyze empirically the market risk under different structural breaks,which is helpful for the market participants to assess risk and for government to control the risk.Finally,according to analysis,this thesis draw a conclusion as follows: be affected by external shocks such as economic situation,energy prices,there is not only the mean structural breaks but also the variance structural breaks in the EUA futures price in the carbon trading market;After adding the structural breaks and considering the mean and variance mutations at the same time,the value of the ?+? fell from 0.987871 to 0.966805.compared to considering one single structural breaks,the GARCH model can further reduce the pseudo persistent of volatility,fit the wave process better,and get the better estimation effect;GARCH-EVT-VaR model successfully solves the spike thick tail and pseudo continuous fluctuations phenomenon,and is well-fitting to the actual circumstances of the market volatility.It also can accurately measure the market risk under the extreme conditions;the VaR is the smallest when considering the mean and variance structural breaks at the same time.It shows that the pseudo persistence of price sequence causes the risk is undervalued if we don't consider the structural breaks or just consider a single form of the structural breaks.Carbon trading system is in preliminary stage in our country.Based on the studies on EU carbon trading system,this thesis put forward some suggestions for our country's carbon market development: establish a perfect mechanism of price stability,getting the market stable and in order;Build a national carbon trading market,integrating carbon market supervision and management system;Perfect the risk measurement and monitoring system,improving early warning capability for risk prevention and control;Improve the level of risk management and establish related services organizations,strengthening the policy support of risk prevention and control.