Research On The Dependence Of China’s Carbon Trading Market And Its Time-varying Characteristics ——Empirical Research Based On The R Vine Copula Model

China’s carbon trading market is at an important stage of development from "piloting" to building a unified national carbon trading market.The "National Carbon Emission Trading Management Measures（Trial）" will be piloted nationwide on February 1st,2021.The national carbon trading market will also be officially launched.Therefore,this article will study the interdependence between China’s carbon trading market and related markets and macroeconomic conditions,in order to explore and analyze China’s carbon trading market and domestic and foreign energy markets more completely and comprehensively.The foreign exchange market,the stock market,and the interdependence of macroeconomic conditions,and an accurate description of their interdependence will not only help investors and regulators to deeply understand the interdependence between the carbon trading market and the related market and macroeconomic conditions,but also It can provide a certain reference for the improvement of China’s carbon emission trading system and the further management of the trading market.This article innovatively constructs the R Vine Copula model to study the dependence of China’s carbon trading market with other related marketsand macroeconomic conditions.First,select data from June 18 th,2013 to November 19 th,2020,a total of 1466 trading days,and use the ARMA-GARCH model and the ARMA-EGARCH model to filter each data to obtain the standard residual sequence.Here Based on the establishment of the overall R Vine Copula model,the closing price of Shenzhen carbon trading market（SZA）was tested by Bai-Perron test to obtain three structural change points,and the R Vine Copula model was further constructed on the four pieces of data.And compare and analyze the change of dependency before and after the change point.The results show that from the perspective of the dependence structure,the Chinese carbon trading market is directly related to the Chinese coal market and is related to other markets through the international natural gas market;from the perspective of the degree of dependence,the domestic carbon trading market is relatively weakly dependent on most related international markets.It is more dependent on the domestic related market,which is directly dependent on coking coal and has a bottom-end correlation.Other domestic related markets,including the stock market HS300 and the crude oil market,are at the edge of the overall structure,but they are not Reflect the dependency of conditions.In addition,the dependence between China’s carbon trading market and related markets and macroeconomic conditions has obvious segmentation characteristics,whether it is the structure of dependence or the size of dependence.