Research On The Dynamic Correlation Between Carbon Emission Quota Price And Energy Pric

With the gradual development of carbon trading market in our country,the carbon trading market attracts more and more enterprises and investors to participate in,promoting the development of enterprises to low carbon and clean.This paper studies the dynamic correlation between energy price and carbon emission right quota price,explores the influence of energy price on carbon emission right quota price,is helpful for enterprises and individuals to grasp the fluctuation of carbon trading market to make reasonable investment,at the same time has a certain theoretical and practical significance for the construction of Chinese carbon market.In this paper,the closing price of carbon emission quota in Shanghai,spot price of crude oil in Daqing,closing price of thermal coal futures and closing price of NYMEX natural gas futures are selected as the research variables,and a time-varying vector autoregression(TVP-VAR)model is established.It is found that the short,medium and long term impacts of thermal coal prices and crude oil prices on carbon prices in Shanghai are positive and gradually weakened.Moreover,the impact of thermal coal price on carbon price in Shanghai is the weakest,and the impact transmission between crude oil and thermal coal market and carbon market has a lag.At the same time,a time-varying Vine-Copula model was established to study the dynamic dependence of carbon emission quota price and energy price.The ARMA-GARCH model was used to establish the marginal distribution of each variable.The dynamic dependence structure of variables was described by combining the time-varying CVine-Copula and time-varying DVine-Copula models.Four static binary copulas and corresponding time-varying binary copulas based on Patton’s thought are fitted respectively.The research finds that there are both static and sometimes variable copulas in the selection of Pair-Copula.But in general,the time-varying binary t-Copula function have better simulation results.The dynamic dependence of Shanghai carbon emission permit quota price on crude oil,thermal coal and natural gas is weak.The dynamic dependence coefficient of Shanghai carbon emission permit quota price on thermal coal price fluctuates between-0.08 and 0.04,the dynamic dependence coefficient of Shanghai carbon emission permit quota price on thermal coal price fluctuates between-0.2 and 0.2,and the dynamic dependence coefficient of crude oil price fluctuates between-0.01 and 0.25.The DVine-Copula model passed the VaR failure rate test,and the actual exceedence number was closer to the expected exceedence number than the CVine-Copula model.