Exploring the risk spillover effects among China's pilot carbon markets: A regular vine copula-CoES approach
Exploring the risk spillover effects among China's pilot carbon markets: A regular vine copula-CoES approach
复制标题
探索中国试点碳市场的风险溢出效应：常规 vine copula-CoES 方法
DOI：
10.1016/j.jclepro.2019.118455
复制
发表时间：
2020
影响因子：
11.1
通讯作者：
Wang Ping
中科院分区：
文献类型：
--
作者：
Zhu Bangzhu;Zhou Xinxing;Liu Xianfeng;Wang Haifang;He Kaijian;Wang Ping
本研究采用风险价值和条件风险价值来衡量中国北京、上海、广东、天津、湖北、深圳和重庆碳市场试点的风险。采用正则藤copula-CoES对广东、湖北和深圳碳交易市场的风险溢出效应进行了测度。实证结果表明，与传统的风险价值相比，条件风险价值能更好地衡量碳市场的风险。重庆、天津和深圳的碳市场风险高于湖北和广东。风险溢出效应存在于广东和深圳碳市场之间，而不存在于湖北和广东碳市场之间。
In this study, value at risk and conditional value at risk are used to measure the risks of pilot carbon markets of Beijing, Shanghai, Guangdong, Tianjin, Hubei, Shenzhen and Chongqing in China. Regular vine copula-CoES is used to measure the risk spillover effects among carbon markets of Guangdong, Hubei and Shenzhen with high transactions. The empirical results show that compared with the traditional value at risk, conditional value at risk can better measure the risks of carbon markets. Carbon markets of Chongqing, Tianjin and Shenzhen have higher risks than those of Hubei and Guangdong. Risk spillover effects are found between carbon markets of Guangdong and Shenzhen, rather than between those of Hubei and Guangdong.