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本文运用GJR-GARCH-M模型实证检验了在试验阶段和京都阶段不同的碳配额总量管理模式下,欧盟碳配额市场价格非对称性波动的特征和投资者风险偏好。研究表明,欧盟碳配额市场的价格波动在两个阶段都存在显著的“杠杆效应”;虽然经济危机使欧盟在京都阶段盈余的碳配额远大于试验期,但是减少免费配额和允许未用完的碳配额储备至下一期的政策抑制了负面信息对欧盟碳配额市场的冲击,投资者的风险偏好类型也从风险爱好转为风险中性。
In this paper, the GJR-GARCH-M model is used to empirically test the characteristics of asymmetric volatility of EU quota market and investors’ risk appetite under different carbon quota management models during the pilot phase and Kyoto phase. The research shows that the price volatility in the EU quota market has significant “leverage effect” in both phases. Although the economic crisis made the EU’s carbon allowance for surpluses in the Kyoto stage much larger than that of the experimental period, it reduced the free quota and allowed the unutilized Of the carbon allowance reserve to the next one inhibits the impact of negative information on the EU carbon allowance market and investors’ risk appetite types also shift from risk aversion to risk neutrality.