Research on the Price Fluctuation and Risk Formation Mechanism of Carbon Emission Rights in China Based on a GARCH Model

被引：18

作者：

Zhang, Jilin ^{[1
]}

Xu, Yukun ^{[2
]}

机构：

[1] Fujian Univ Technol, Data Anal & Res Ctr, Fuzhou 350118, Peoples R China

[2] Fujian Univ Technol, Res Ctr Internet Finance & Blockchain, Fuzhou 350118, Peoples R China

来源：

SUSTAINABILITY | 2020年 / 12卷 / 10期

关键词：

carbon emissions; carbon price; GARCH model; sustainable development; ECONOMETRIC-ANALYSIS; ALLOWANCE PRICES; EU ETS; COST;

D O I：

10.3390/su12104249

中图分类号：

X [环境科学、安全科学];

学科分类号：

08 ; 0830 ;

摘要：

This paper examines the price of carbon emission rights published by the China Emissions Exchange (Shenzhen), analyzes the statistical characteristics of the price series and uses a generalized autoregressive conditional heteroskedasticity (GARCH) model to describe the price fluctuation of carbon emission rights and risk formation mechanisms. The study shows the following results: since 2013, China's carbon emission rights prices have become more stable. The fluctuation of yield has gradually decreased and the market has approached a more mature stage. However, after 2018, due to factors such as the economic downturn and insufficient market information, the amplitude of price fluctuations has started to rise while frequency is increasing, which shows an asymmetry trend. The market trading risk is accumulating constantly.

引用

页数：11

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