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本文以中国碳金融市场5个碳排放权交易所(北京、上海、深圳、天津、湖北)的收益率为研究对象,采用不同的分位数回归模型对碳金融市场风险水平进行度量与实证检验。研究结果表明:相较于CAVia R族模型,QAR-GARCH模型更适合对中国碳金融市场风险的刻画;中国各地碳金融市场均处于发展阶段,尚未成熟;就中国5大碳市场发展成熟度的比较而言,上述两种模型均显示深圳市场的发展成熟度较高,湖北成熟度最低。
In this paper, we take the yield of five carbon emission rights exchanges (Beijing, Shanghai, Shenzhen, Tianjin and Hubei) of China’s carbon finance market as the research object, and adopt different quantile regression models to measure and test the risk level of carbon financial markets . The results show that compared with the CAVia R model, the QAR-GARCH model is more suitable for describing the carbon finance market risk in China. The carbon finance market in all parts of China is in the development stage and is not yet mature. In terms of the maturity of China’s five largest carbon markets In comparison, the above two models show that the maturity of the Shenzhen market is high, and the maturity of Hubei is the lowest.