| Climate is not only an environmental issue,but also an overall development issue that requires a coordinated response from the international community.It was in this context that the United Nations Framework Convention on Climate Change(UNFCCC)was established and now has about 200 parties,including China.In the UNFCCC's successor protocols,the Kyoto Protocol is by far the most important one.It not only requires developed countries to cut their overall emissions by more than 5%,compared with 1990 during the first commitment period of 2008-2012,but also proposes three mechanisms to help developed countries successfully meet these mandatory targets.Since then,more than 30 global carbon markets have been set up.Among them,the Eu carbon market,established in 2005,is the largest and most mature carbon market.It has entered its fourth stage of development and has a profound impact on the development of carbon markets in other countries or regions.In China,in order to effectively control carbon emissions,the regional carbon markets have been piloted in 9 provinces and cities including Shenzhen since June 2013.Moreover,on September 22,2020,President Xi Jinping said that China would take more forceful policies and measures to peak carbon dioxide emissions by 2030 and achieve "carbon neutrality" by 2060.The national carbon market will be officially put into operation on July 16,2021,and will become the largest carbon market covering carbon emissions in the world,which will provide a strong boost for China to successfully achieve the "30·60" carbon emission reduction target.However,behind the rapid development of the carbon market at home and abroad,it must be clearly seen that the carbon market is still not mature,the design of operation mechanism needs to be further improved,and there are still many problems such as excess quota,insufficient market activity,and large differences among carbon markets.These problems make the quota prices(referred as carbon prices)in different carbon markets vary significantly and fluctuate sharply.For example,the EU carbon price was almost zero at the end of the trial period.In the second phase,the price fell from 30 euros per ton at the beginning of the period to about 5 euros at the end of the period;it took less than a year for the carbon price in Guangdong to fall from RMB60 to RMB25 per ton,while in Chongqing it briefly fell to RMB1 per ton.Excessive fluctuations in carbon prices are not conducive to the healthy and stable development of the carbon market,and then,are not conducive to the realization of emission reduction targets.Therefore,a comprehensive and accurate description of the actual fluctuations and risk characteristics of carbon price is of great theoretical and practical significance to the scientific operation and investment decisions of carbon market participants and the introduction of relevant policies.This paper takes the Eu carbon market,which is the most mature one in the world,as well as China's representative carbon markets in Beijing,Guangdong and Hubei as the research object,and carries out a systematic study on the core issue of "carbon price volatility and risk characteristics".Although a large number of theoretical and empirical studies show that high-order moments play an important role in many fields of finance,according to the author's literature,there is no research on the volatility and risk characteristics of high-order moments of carbon price.Compared with the existing "mean-variance" two-dimensional framework of carbon price,this paper expands to the third-order moment(skewness)and fourth-order moment(kurtosis)of carbon price,comprehensively discusses the time-varying characteristics of carbon price variance,skewness and kurtosis,and investigates the importance of time-varying moment information in the risk measurement of carbon market.At the same time,this paper discusses the static and dynamic risk contagion characteristics between energy assets and carbon assets during the development of carbon market from the perspective of high-order moments,which further expands the research field of risk contagion in carbon market.The main conclusions of this paper are as follows:Like the conditional variance,the high-order moment changes of carbon prices also have time-varying characteristics such as aggregation and persistence,and this time-varying characteristic is universal in the domestic and foreign carbon markets.At the same time,the fluctuations of conditional variance,conditional skewness and conditional kurtosis of carbon price at home and abroad are synchronous,that is,when the conditional variance is large,the possibility of carbon yield decline and the probability of occurrence of extreme value also greatly increases.Furthermore,based on the more robust and rigorous SPA prediction test method,it is found that the GARCHSK model and GJRSK model with time-varying high-order moment information can achieve higher prediction accuracy of out-of-sample volatility than the constant high-order moment fluctuation model.This means that we can use the information available in time to predict the asymmetric and thick-tailed characteristics of carbon yield in time + 1.On the basis of the above research,based on Va R and ES risk measures,from the perspectives of in-sample risk estimation and out-of-sample risk prediction,using the unconditional coverage test and conditional coverage test for Va R and Bootstrap based posterior analysis method,it empirically compared the accuracy and applicability of the time-varying high-order moment fluctuation model and the constant high-order moment fluctuation model.The results show that the time-varying high-order moment fluctuation model has significantly better risk measurement accuracy than the constant high-order moment fluctuation model in terms of both in-sample risk estimation accuracy and out-of-sample risk prediction accuracy.This conclusion is applicable to the carbon markets of EU,Beijing,Guangdong and Hubei.In addition,the risk measurement results of short positions in the EU carbon market reach a consistent conclusion.However,there is no significant difference in the precision of risk measurement in the wave models with the same moment attribute(such as GARCHSK model and GJRSK model).With the gradual improvement of the operational mechanism design of the carbon market,the openness and maturity of the carbon market at home and abroad have been greatly improved,especially in the subsequent development stage compared with the experimental stage.In this process,the flow of capital,information and other elements in the carbon market and the closest energy market become more smooth,which greatly increases the importance of studying the risk contagion characteristics of the energy market to the carbon market.In this context,the risk contagion characteristics of the energy market to the carbon market are explored from the perspective of high-order moments,especially the asymmetry risk and extreme risk contagion in asset price changes,which greatly expands the research field of risk contagion in the carbon market.The results show that there is a significant long-term equilibrium or cointegration relationship between carbon price and energy price.Both static and dynamic risk contagion tests show that the risk contagion channels of the energy market to the domestic and foreign carbon markets are more reflected in the high moment level such as asymmetric dependence and extreme value dependence,rather than in the traditional linear dependence.However,compared with the static risk contagion test,the dynamic risk contagion test used in this paper can capture more comprehensive risk contagion information.For example,when the energy market or the real economy suffers a major shock,the relationship between the energy market and the carbon market tends to change sharply in the direction of risk contagion.In general,the risk transmission channels of energy markets to different carbon markets are different,and the differences are very obvious,which is related to the differences of various carbon markets in operation mechanism design,economic development level and many other aspects.Based on the above-mentioned rigorous and progressive research and design,this article believes that the conclusions can help carbon market participants have a deeper understanding of the complex changes in carbon prices at home and abroad(especially how the asymmetry and fat tails of carbon price change over time),and then carry out more effective carbon market risk management activities.On the basis of the conclusion of the whole paper,this paper further puts forward seven suggestions on the construction of the national carbon market,and summarizes the next research direction,in order to continue to contribute to the construction and development of Chinese carbon market. |
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