“双碳”目标下中国泛金融市场的动态风险溢出效应研究

财经论丛 ›› 2023, Vol. 39 ›› Issue (8): 47-58.

“双碳”目标下中国泛金融市场的动态风险溢出效应研究

陈张杭健, 孙磊

安徽大学经济学院,安徽合肥 230601

收稿日期:2022-04-24 出版日期:2023-08-10 发布日期:2023-08-16
通讯作者: 孙磊(1998—),男,安徽宣城人,安徽大学经济学院硕士生。
作者简介:陈张杭健(1992—),男,安徽巢湖人,安徽大学经济学院讲师,博士。
基金资助:
安徽省哲学社会科学研究规划青年项目(AHSKQ2022D027);国家自然科学基金青年项目(72201003)

Research on the Dynamic Risk Spillover Effect of China's Pan-financial Market under the “Dual Carbon” Target

CHEN Zhanghangjian, SUN Lei

School of Economics, Anhui University, Hefei 230601, China

Received:2022-04-24 Online:2023-08-10 Published:2023-08-16

摘要/Abstract

摘要： 基于中国泛金融市场视角,运用溢出指数和事件研究法,从静态分析和动态演化两方面识别碳市场在金融市场风险传染中扮演的角色及其风险传染时变特征,重点探讨贸易摩擦、公共卫生和公共政策三类外生事件冲击下碳市场的风险溢出和传染效应。研究发现,2015—2020年,中国泛金融市场间联系紧密,双向、非对称风险溢出明显,碳市场整体表现为风险接受者,其风险溢出效应具有较强的时变性和差异性,对外生事件冲击的抵御能力较弱,市场地位与实现“双碳”目标的要求并不匹配。贸易摩擦升级事件的冲击显著增强了其他市场向碳市场的风险溢出,而缓和事件的冲击对风险溢出有抑制作用;公共卫生事件的冲击同样加强了其他市场向碳市场的风险溢出,且对湖北碳市场的影响最为明显;市场预期的存在导致部分公共政策事件冲击的影响不显著,甚至与预期相反。进一步讨论了金融风险溢出对资产价格波动和投资者行为的影响。基于实证结论,从建立稳定价格机制、构建碳市场体系和防范化解系统性金融风险等方面提出政策建议,以促进“双碳”目标背景下中国金融市场健康、有序、稳定的发展。

关键词: 泛金融市场, 碳市场, 风险溢出效应, 外生事件, 动态演化

Abstract: Based on the pan-financial market perspective in China, the article uses the spillover index and the event analysis method to identify the role played by the carbon market in the risk contagion of the financial market and the time-varying characteristics of its risk contagion from the aspects of both static analysis and dynamic evolution. It focuses on the risk spillover and the contagion effects of the carbon market in the contexts of three types of exogenous event shocks: trade frictions, public health and public policy. The study finds that in 2015—2020, China's pan-financial markets were closely linked, with two-way and asymmetric risk spillovers, and the carbon market as a whole is a risk-taker. Its risk spillover effects are highly time-varying and variable. Its resilience to exogenous shocks is weak, and its market position does not match the requirements of achieving the “dual carbon” target. Shocks from escalating trade friction events significantly enhance risk spillovers from other markets to the carbon market, while shocks from moderating events have a dampening effect on risk spillovers. Shocks from public health events also strengthen the risk spillover from other markets to the carbon market, and the impact on the Hubei carbon market is most pronounced. In addition, the existence of market expectations leads to the impact of some public policy event shocks being insignificant or even contrary to expectations. The paper further discusses the influence of the financial risk spillover on the price fluctuation of property and the behavior of investors. Based on the above empirical findings, the paper puts forward policy recommendations in terms of establishing a stable price mechanism, building a carbon market system, and preventing and resolving systematic financial risks to promote a healthy, orderly, and stable development of China's financial market in the context of the “dual carbon” target.

Key words: Pan-financial Market, Carbon Market, Risk Spillover, Exogenous Events, Dynamic Evolution

中图分类号:

F832.5

陈张杭健, 孙磊. “双碳”目标下中国泛金融市场的动态风险溢出效应研究[J]. 财经论丛, 2023, 39(8): 47-58.

CHEN Zhanghangjian, SUN Lei. Research on the Dynamic Risk Spillover Effect of China's Pan-financial Market under the “Dual Carbon” Target[J]. Collected Essays on Finance and Economics, 2023, 39(8): 47-58.

参考文献

[1]王俊勇, 李心丹, 林良才. 新时代防控金融风险跨市场交叉网络传染机制研究[J]. 中国管理科学, 2021, (6): 23-35.
[2]杨子晖, 陈雨恬, 张平淼. 重大突发公共事件下的宏观经济冲击、金融风险传导与治理应对[J]. 管理世界, 2020, (5): 13-35, 7.
[3]刘红琴, 胡淑慧. 不同情境下中国碳排放权交易市场的风险度量[J]. 中国环境科学, 2022, (2): 962-970.
[4]Lin B. Q., Chen Y. F. Dynamic Linkages and Spillover Effects between CET Market, Coal Market and Stock Market of New Energy Companies: A Case of Beijing CET Market in China[J]. Energy, 2019, 172: 1198-1210.
[5]Diebold F. X., Yilmaz K. Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets[J]. Economic Journal, 2009, 534(119): 158-171.
[6]宫晓莉, 熊熊. 波动溢出网络视角的金融风险传染研究[J]. 金融研究, 2020, (5): 39-58.
[7]陈晓红, 王陟昀. 碳排放权交易价格影响因素实证研究——以欧盟排放交易体系(EUETS)为例[J]. 系统工程, 2012, (2): 53-60.
[8]刘志洋, 马欣頔, 解瑶姝. 碳市场、能源市场与金融市场相互影响关系研究——全国碳排放权交易市场推出前后比较视角[J]. 证券市场导报, 2022,(6): 36-46.
[9]王超, 杨宝臣. 碳市场对商品、金融市场的溢出效应分析[J]. 南开学报(哲学社会科学版), 2021,(5): 110-122.
[10]Subramaniam N., Wahyuni D., Cooper B. J., et al. Integration of Carbon Risks and Opportunities in Enterprise Risk Management Systems: Evidence from Australian Firms[J]. Journal of Cleaner Production, 2015, 96: 407-417.
[11]崔婕, 黄杰, 李凯. 基于VAR的碳排放权现货价格、能源价格及道中指数关系研究[J]. 经济问题, 2018,(7): 27-33.
[12]Yu L., Li J., Tang L., et al. Linear and Nonlinear Granger Causality Investigation between Carbon Market and Crude Oil Market: A Multi-Scale Approach[J]. Energy Economics, 2015, 51: 300-311.
[13]Julien C. Carbon Futures and Macroeconomic Risk Factors: A View from the EU ETS[J]. Energy Economics, 2009, 31(4): 614-625.
[14]吴振信, 万埠磊, 王书平. 碳交易市场、原油市场和股票市场的联动关系——基于结构突变检验和VAR模型的实证研究[J]. 系统工程, 2015, (3): 25-31.
[15]Koch N. Dynamic Linkages among Carbon, Energy and Financial Markets: A Smooth Transition Approach[J]. Applied Economics, 2014, 46(7): 715-729.
[16]Liu L., Chen C., Zhao Y., et al. China's Carbon-Emissions Trading: Overview, Challenges and Future[J]. Renewable and Sustainable Energy Reviews, 2015, 49: 254-266.
[17]Li Y.B., Nie D., Li B. K., et al. The Spillover Effect between Carbon Emission Trading (CET) Price and Power Company Stock Price in China[J]. Sustainability, 2020, 12(16): 6573.
[18]Xu Y. Risk Spillover from Energy Market Uncertainties to the Chinese Carbon Market[J]. Pacific-Basin Finance Journal, 2021, 67: 101561.
[19]Chan K. A Further Analysis of the Lead-Lag Relationship Between the Cash Market and Stock Index Futures Market[J]. Review of Financial Studies, 1992, 5(1): 123-152.
[20]Cen L., Lu H., Yang L. Investor Sentiment, Disagreement, and the Breadth-Return Relationship[J]. Management Science, 2013, 59(5): 1076-1091.
[21]鲍勤, 孙艳霞. 网络视角下的金融结构与金融风险传染[J]. 系统工程理论与实践, 2014, (9): 2202-2211.
[22]Kostas A., Emilios G., Spyros S. Contagion, Volatility Persistence and Volatility Spillovers: The Case of Energy Markets during the European Financial Crisis[J]. Energy Economice, 2017, 66(1): 217-227.
[23]Lanfear M. G., Lioui A., Siebert M. G. Market Anomalies and Disaster Risk: Evidence from Extreme Weather Events[J]. Journal of Financial Markets, 2019, 46(C): 100477.
[24]袁梦怡, 胡迪. 疫情冲击下全球股市的风险溢出效应研究[J]. 金融论坛, 2021, (9): 36-48.
[25]Zhu B. Z., Ye S. X., Han D. A Multiscale Analysis for Carbon Price Drivers[J]. Energy Economics, 2019, (78): 202.
[26]高红贵, 许莹莹, 朱于珂. 命令控制型环境规制对碳市场价格的影响——来自中央环保督察的准自然实验[J]. 中国地质大学学报(社会科学版), 2022, (3): 54-66.
[27]刘超, 徐君慧, 周文文. 中国金融市场的风险溢出效应研究——基于溢出指数和复杂网络方法[J]. 系统工程理论与实践, 2017, (4): 831-842.
[28]何枫, 郝晶, 谭德凯, 等. 中国金融市场联动特征与系统性风险识别[J]. 系统工程理论与实践, 2022, (2): 289-305.
[29]Ball R., Brown P. An Empirical Evaluation of Accounting Income Numbers[J]. Journal of Accounting Research, 1968, 6(2): 159-178.
[30]Zhang H., Chen J., Shao L. Dynamic Spillovers between Energy and Stock Markets and Their Implications in the Context of COVID-19[J]. International Review of Financial Analysis, 2021, 77: 101828.
[31]Espinosa G. E., Touzi N. Detecting the Maximum of a Scalar Diffusion with Negative Drift[J]. SIAM Journal on Control and Optimization, 2012, 50(5): 2543-2572.