Research On Risk Spillover Effect Between Carbon Market And Energy Market

With the process of industrialization,the climate problem caused by greenhouse gas emission has become one of the major challenges facing the whole world.As a developing country with a traditional energy consumption structure,China has the courage to show its responsibility as a major country and proposed a "two-carbon" emission reduction target to reduce carbon emissions.In the big 20,the government said that in order to promote the "double carbon" goal more actively and steadily,based on the current situation of China’s energy and resources system,first to establish before breaking,that is,the foundation is to re-understand the country’s resource endowment,and then gradually realize the energy transition.At the same time,the opening of a national carbon trading system will gradually eliminate the differences among regional carbon markets caused by economic levels and emission reduction targets in different regions,and establish a more uniform carbon market that is more suitable for China’s national conditions.Therefore,it is of great significance to study the risk spillover effect between carbon market and energy market.Based on the understanding of relevant literature,this paper combined the TVP-VAR-DY model and network analysis method,taking the Beijing carbon market price,thermal coal futures contract price,China Daqing crude oil spot price and the closing price of China Securities New Energy Index as research samples,using the daily closing price data from February 25,2015 to June 10,2022.To study the risk spillover index between various markets,and combined with network analysis to analyze the domestic and foreign uncertainty on the spillover direction,strength.The results show that: Firstly,there is a two-way risk spillover effect between carbon market and energy market and it is asymmetric.With the uncertainty of domestic and foreign policy and economy,the risk spillover between the two markets is affected,which has obvious time-varying characteristics.Secondly,it can be seen from the static spillover effect that the carbon market and coal market are net spillover markets,while the crude oil and new energy market are net spillover markets,and the coal market has the strongest net spillover effect on the new energy market.Meanwhile,the crude oil market has the highest spillover index to or from other markets.Then,in the directional spillover effect,the carbon market has a sharp fluctuation in net spillover,but it is positive in most cases.Compared with the spillover effect sent by itself,the spillover effect received by other markets is smaller,indicating that the carbon market is in the position of exporter in risk transmission.However,the net spillover effect of new energy market is negative in many cases,and it is in the position of recipient in risk transmission.Finally,combining the risk spillover with the network structure,it is found that with the constant changes of domestic and foreign policy and economic environment,the directional spillover and the pin-two spillover index between various markets have very obvious time-varying characteristics.Especially during the trade war and the COVID-19 pandemic.At the same time,it is found that after the opening of the national carbon trading system,the risk correlation among various markets is relatively weaker than before.This paper studies the transmission process of risks between different markets theoretically and calculates and summarizes the characteristics of time-varying spillover effects empirically,and provides more specific countermeasures and suggestions for policy makers and investors in the aspects of inter-market development and risk management of carbon markets.