Research On The Spillover Effect And Evolution Of Extreme Risks In The Domestic Carbon Marke

In order to respond to the challenges of climate change,China is actively promoting the goals of carbon peaking and carbon neutrality,as well as enhancing its own contribution,and officially launched the national carbon trading market in December 2017,covering nine provinces and cities in Beijing,Tianjin,Shanghai,Chongqing,Hubei,Guangdong,Shenzhen,Fujian and Sichuan,and will also officially go online in July 2021.In this way,it demonstrates the responsibility and commitment of a big country and effectively reduces the threat of climate change to human life,becoming the world’s largest carbon market.However,China is still in the early stage of the carbon emission market,the market operation stability is insufficient,the trading system is not sound enough,resulting in large fluctuations in carbon trading prices and carbon yields,and various regions are affected by resource endowments,economic policies and other factors,showing complex correlations,uncertain risks,and increasing the difficulty of controlling the national carbon emission trading market.In addition,the carbon market in China is not yet clear,and different price levels bring different risks to the operation of the carbon market,which in turn affects the enthusiasm of enterprises to participate in carbon trading,undermines the operation of the carbon market,and ultimately affects the effect of carbon market regulation.Based on the analysis of the current situation of trading prices in seven carbon markets in China from June 19,2014 to February 28,2022,this study uses the(T)GARCH-Va R model to show the risk spillover effect of carbon markets in extreme cases,and then combines the complex network method with the Granger causality test to visually depict the changes of cross-market extreme risks in different periods.The results are as follows.(1)There are extreme risk spillovers between China’s seven carbon markets.On the one hand,the upside extreme risk propagation capacity is weaker than the downside risk,and the more extreme events,the greater the effect of risk spillover;on the other hand,the risk spillover between carbon markets is accompanied by a time lag effect,in the early stage of the lag,the network density and global efficiency first decline rapidly,and then the two show a volatile upward trend,indicating that after two or three days of digestion of the news,the risk is gradually understood by the market,and more and more carbon markets participate in the risk transmission,further increasing the transmission capacity of extreme risks and intensifying the interconnection between markets.(2)From the results of the whole sample,it can be seen that the carbon markets in Shenzhen and Tianjin are more susceptible to positive or negative news,resulting in sharp fluctuations in carbon prices and more likely to transmit risks to other markets;Due to the sound development mechanism and mature supervision,the Hubei carbon market has less carbon price fluctuations,and it is not easy to spread risks to other markets.(3)The direction and intensity of risk transmission between carbon markets vary at different times,and the core nodes of the network are constantly changing.The main spreaders during the initial construction period are the carbon markets in Beijing and Shanghai,while the Shenzhen carbon market has a very weak ability to spread risks to other carbon markets and is located outside the upside network.Under the impact of unfavorable news during the continuous advancement period,the Shenzhen carbon market transferred risks to the Hubei carbon market,the risk spillover intensity of the Chongqing carbon market nearly doubled,and the Shanghai carbon market transferred risks to the Beijing carbon market.After further development,the Beijing and Shanghai carbon markets have begun to play an increasingly important role,and the risk spillover effect of the Shanghai carbon market has become more dispersed.The Sino-U.S.trade war and the COVID-19 pandemic have significantly enhanced the risk spillover capacity of the three carbon markets of Tianjin,Shenzhen and Shanghai.After the crisis,the carbon markets of Chongqing and Guangdong occupied a major central position in the network.(4)The carbon markets of Tianjin,Hubei and Chongqing mainly play an intermediary role,and when formulating corresponding policies,we should refer to the risk relationship between carbon markets and select appropriate investment decisions to promote the implementation of the dual carbon goals.