摘要
在“双碳”目标引导下,中国碳市场发展迅速,其与传统能源市场间的联动机制日益受到关注,厘清不同市场间的价格关联关系成为制定市场建设政策的重要依据。基于全国碳市场及北京、上海、广东、湖北、深圳和福建6个试点碳市场,与电力、煤炭、石油、天然气4类能源市场的日度数据,构建VAR模型和DCC-GARCH模型,系统考察碳市场与能源市场间价格均值溢出效应、波动溢出效应的动态演化特征。实证结果表明:各碳市场与能源市场价格间存在长期协整关系,但均值溢出效应整体较弱,仅福建与深圳等地存在显著的因果关联;而波动溢出效应更为普遍,碳市场价格与石油、天然气市场价格间的动态相关性表现出较强的持续性与地区异质性。
Under the guidance of the dual carbon goals,China’s carbon market has developed rapidly,and its link⁃age mechanism with traditional energy markets has increasingly attracted attention.Based on China carbon market and six pilot carbon markets in Beijing,Shanghai,Guangdong,Hubei,Shenzhen and Fujian,as well as the daily da⁃ta from four types of energy markets including electricity,coal,oil and natural gas,this paper constructs the VAR model and the DCC-GARCH model to systematically investigate the dynamic evolution characteristics of the price mean spillover effect and the volatility spillover effect between the carbon market and the energy market.The em⁃pirical results show that there is a long-term co-integration relationship between the prices of various carbon mar⁃kets and the energy market,but the mean spillover effect is generally weak,with only significant causal relation⁃ships in Fujian and Shenzhen;The spillover effect of volatility is more common,and the dynamic correlation be⁃tween carbon market prices and oil and gas market prices shows strong persistence and regional heterogeneity.
作者
王玉玮
王一为
李兵抗
Wang Yuwei;Wang Yiwei;Li Bingkang(Department of Economics Management,North China Electric Power University(Baoding),Baoding,Hebei 071000)
出处
《价格月刊》
北大核心
2026年第2期1-11,共11页
基金
国家自然科学基金(青年基金)“多微能源网鲁棒协同调度及网间交互价格决策模型研究”(编号:72101089)
北京市自然科学基金资助项“基于群体交易行为涌现机理的电力市场信用风险测度及防控机制”(编号:9254037)
中央高校基本科研业务费项目“电力需求侧资源互动响应评估及定价策略研究”(编号:2023MS058)。
