Research On Risk Measurement Of Carbon Emission Trading Market In China Based On Fractal Theory

In recent years,the acceleration of global industrialization has brought serious environmental pollution,and countries have launched energy saving and emission reduction actions to cope with global climate change,and carbon emission trading mechanism is regarded as an effective way to reduce emissions.Compared with the mature EU ETS,China’s carbon emission trading market started late,and China is a vast country with large differences in economic development,resource endowment and energy consumption structure in different regions,which will bring more diversified risk factors and a more complex risk structure.Under the carbon peaking and carbon neutrality goals,China has to achieve the world’s highest carbon emission intensity reduction in the shortest time window,and it will face extremely serious risks and challenges on the way to achieve the goals which requires the establishment of an effective risk prevention and control system for China’s carbon emission trading market.In this context,it is of great practical significance to study the fractal characteristics and risk level of China’s carbon emission trading market.This dissertation firstly elaborates and analyzes the fractal theory and risk measurement theory,and lays the theoretical and methodological foundation for the construction of risk measurement models based on fractal characteristics.Secondly,it compares the development history,policy regulation,market mechanism,operation and existing problems of China’s carbon emission trading market.Thirdly,it uses the multiple fractal detrended fluctuation analysis method to test the fractal characteristics of China’s carbon emission trading market.Finally,it constructs a VaR model based on fractal distribution to measure the risk of each carbon market in China and makes policy recommendations.This dissertation selects eight regional carbon markets and the national unified carbon market in China as the research object,and the research interval is from the opening date of each carbon market to March 10,2023.The fractal characteristics of China’s carbon emission trading market are analyzed by multiple fractal detrended fluctuation analysis(MF-DFA method),and it is found that there are obvious multiple fractal characteristics in the carbon market price yield series,and the efficient market hypothesis is not suitable for its analysis.To further analyze the sources of multiple fractals.the yield series are randomly rearranged and phase-adjusted transformed to eliminate the long memory and thick-tailed characteristics of the series.A VaR risk measurement model based on fractal distribution is constructed,a fractal distribution is fitted to the yield series,the VaR value of China’s carbon market is calculated based on the fitting results,and validity tests are performed.The results show that:(1)There are obvious multiple fractal characteristics in the carbon market price return series,with Tianjin and Hubei carbon markets having the strongest multiple fractal characteristics,followed by Shenzhen,Beijing,Shanghai,China,Fujian and Guangdong,and Chongqing carbon market having the weakest.(2)The fractal characteristics of the carbon market are the result of the combined effect of long memory and thick-tailed probability distribution patterns,except for the carbon market in Fujian where long memory is the main cause,the role of thick-tailed distribution is stronger than long memory in the rest of the carbon markets.(3)The fractal distribution of the carbon market fits better than the normal distribution,and the VaR risk measure of the carbon market based on the fractal distribution is closer to the risk value of the historical simulation method than that of the normal distribution.