Research On Price Determinants And Risk Measurement Of Carbon Market

In recent years,the establishment of the carbon market has made a lot of contributions to the realization of carbon emission reduction targets,and has become one of the most effective ways to control carbon emissions.And the carbon market has gradually become the focus of more and more scholars.Carbon price is the best indicator for studying the operation of carbon market.Studying the factors affecting carbon price can help to understand the reasons for carbon price fluctuation.At the same time,the measurement and management of the risk of the carbon market will help participating companies to grasp the trend of market risk changes.The above content is of great significance for China to promote the unification and supervision of the national carbon market.The research object of this paper is China's four carbon markets,which have high carbon trading activity.Based on understanding the emission reduction effects and trading conditions of the carbon markets,from the two perspectives of carbon price influencing factors and risk measurement,the carbon market is comprehensively studied by using quantile regression and GARCH-CVaR model respectively.Finally,based on the content of empirical analysis and discussion,the corresponding policy recommendations are proposed to provide reference for China to achieve carbon emission reduction targets as soon as possible.The specific content of this article is as follows:(1)First of all,this paper briefly analyzes the emission reduction effects,carbon credit transaction scale and carbon price trends of the four carbon markets in Beijing,Shenzhen,Hubei and Guangdong,and briefly understands the relevant policies and development processes of each carbon market.At the same time,after studying the emission reduction effects of various carbon emission trading markets,it can be found that the carbon emission trading market has a certain inhibitory effect on carbon emissions,which can help China achieve the goal of carbon emission reduction as soon as possible.Therefore,research related to the carbon market should be taken seriously and the emission reduction effect of the carbon market should be maximized.In addition,China's carbon pilots are distributed in the eastern,central and western regions of China,and there are large differences in regional economies.The system design of each carbon emission trading market also reflects certain regional characteristics,and carbon price levels and trends are different.Therefore,it is particularly necessary to explore the relationship between carbon price and various influencing factors under different quantile levels.(2)This paper uses the quantile regression model to study the relationship between carbon price and influencing factors at different quantile levels.The results show that compared with the ordinary least squares regression model,the quantile regression model can better describe the relationship between carbon price and various influencing factors.There is no simple linear relationship between some variables and carbon prices,and the intensity of each influencing factor on carbon prices will also vary depending on the level of quantile.At the same time,based on the conventional variables,this paper has added the Shanghai Interbank Offered Rate.The regression results show that this variable will have a certain impact on the carbon price and it will have a diametrically opposite effect on the low quantile and the high quantile.This shows that the regions with different carbon price levels will have different responses to interest rate changes.The findings of this result provide a new perspective for China to regulate carbon price changes.Considering that the relationship between carbon price and influencing factors may be different due to the different levels of quantiles,this paper uses quantile regression to reveal the influence mechanism of each explanatory variable,which is convenient for China to propose more precise policy for different carbon markets.(3)This paper uses the GARCH-CVaR model to explore the risks of various carbon markets.The following results are found.Firstly,under the assumption of different distributions,the GARCH models which are applicable for each carbon market are different.Finding the appropriate GARCH model will help to calculate the VaR and CVaR values for each carbon market based on the appropriate GARCH model parameters.At the same time,the results of the GARCH model show that there are asymmetries in the fluctuations of income in various carbon markets,and there is a leverage effect.Secondly,comparing the estimated values of VaR and CVaR,it can be found that CVaR has more excellent properties.At the same time,according to the principle of minimum DLC statistics,we can find the best model for calculating the CVaR effect in each carbon market,so that each carbon market can more accurately measure the market risk.(4)Finally,based on the main research results,this paper proposes policy recommendations for energy conservation and emission reduction in China,including promoting the construction and innovation of carbon market,It mainly includes promoting the construction and innovation of the carbon market,adapting measures to local conditions and adopting differentiated countermeasures,finding a balance point between carbon emission costs and energy substitution costs,selecting appropriate risk measurement tools and establishing a supervision system.