Integrated Measurement Of Carbon Financial Market Risk Taking Into Account The Impact Of Macroeconomics

Since the Paris Agreement in 2015,it has become a global consensus to reduce greenhouse gas emissions and achieve carbon peaking and carbon neutrality as soon as possible.As a market tool that can effectively control greenhouse gas emissions,carbon trading has also become an important policy tool for China to implement emission reduction commitments and achieve emission reduction goals.Since 2011,China has taken the lead in carrying out carbon trading pilots in Shenzhen,Beijing,Tianjin,Shanghai,Chongqing,Hubei,and Guangdong.The emission reduction effect has become increasingly significant.However,due to the influence of various factors such as climate,policies,energy prices,and supply and demand mechanisms,the carbon trading price fluctuates violently,even more,unstable than the traditional stock market,and there are substantial potential risks;coupled with the development time of China’s carbon market Short-term,imperfect policy framework,insufficient degree of financialization,and insufficient role of the carbon market,resulting in more significant uncertainty in the volatility of carbon market transaction prices.In addition,there are complex interdependencies among risk factors such as carbon market price fluctuations,interest rate changes,and macroeconomic fluctuations.Measuring carbon market risk without considering the impact of carbon market risk factors will lead to biased results.Therefore,it is necessary to accurately consider the dependencies between different risk factors to measure China’s carbon market risk.In this way,it can effectively avoid the adverse impact of the carbon price risk outbreak on the carbon market and the operation of the national economy.Based on previous research on the carbon market,this paper sorts out the relevant theories of carbon market risk;then analyzes the development status of China’s carbon market,takes Hubei carbon price daily rate of return and Shanghai Composite Index daily rate of return as the research objects,and first uses the ARMA-GARCH model to analyze the price fluctuation characteristics of the two series,after eliminating the autocorrelation and heteroscedasticity of the series,We use the ARMA-GARCH-EVT model to fit marginal distributions of carbon prices and macroeconomic risk factors.Then,considering the impact of macroeconomic fluctuations as a risk factor,a CopulaEVT-Va R model is constructed to measure the integrated risk of China’s carbon market.Among them,the Copula model is used to capture the interdependence between carbon price fluctuations and different risk factors of macroeconomic fluctuations,and EVTVa R is used to explore the value at risk.By comparing the risk measurement results with and without considering the macroeconomic impact,the following conclusions are drawn: First,compared with the risk of macroeconomic fluctuations,the risk faced by China’s carbon market is more affected by policy uncertainty,and it faces risk.It may bring significant losses to investors;second,traditional Va R that only considers a single risk factor for carbon price volatility may overestimate risk;It is more effective to use the Copula function to measure the risk of carbon market integration back-test results also confirm this conclusion.Finally,because of the above conclusions,this paper puts forward suggestions from two aspects of market construction and policy formulation of carbon market.In this way,the awareness of risk management in China’s carbon market will be strengthened,and the healthy and stable development of China’s carbon emissions trading market will be promoted.