论文标题
经济政策不确定性对欧洲碳市场波动的影响
The impact of economic policy uncertainties on the volatility of European carbon market
论文作者
论文摘要
欧盟排放贸易计划是欧洲设计的碳排放津贴津贴交易系统，旨在实现减排目标。生产活动引起的碳排放量与社会经济环境密切相关。因此，从经济政策不确定性的角度来看，本文构建了Garch-Midas-Euepu和Garch-Midas-Gepu模型，用于研究欧洲和全球经济政策不确定性对碳价格波动的影响。结果表明，欧洲和全球经济政策的不确定性都会加剧欧洲碳斑点回报的长期波动，而后者在变化相同时会产生更大的影响。此外，可以通过预测指标，全球经济政策不确定性更好地预测欧洲碳斑点的波动。这项研究可以为市场经理掌握碳市场趋势，并帮助参与者控制碳津贴波动的风险。
The European Union Emission Trading Scheme is a carbon emission allowance trading system designed by Europe to achieve emission reduction targets. The amount of carbon emission caused by production activities is closely related to the socio-economic environment. Therefore, from the perspective of economic policy uncertainty, this article constructs the GARCH-MIDAS-EUEPU and GARCH-MIDAS-GEPU models for investigating the impact of European and global economic policy uncertainty on carbon price fluctuations. The results show that both European and global economic policy uncertainty will exacerbate the long-term volatility of European carbon spot return, with the latter having a stronger impact when the change is the same. Moreover, the volatility of the European carbon spot return can be forecasted better by the predictor, global economic policy uncertainty. This research can provide some implications for market managers in grasping carbon market trends and helping participants control the risk of fluctuations in carbon allowances.
