碳排放权市场与石油市场相关性研究

发布时间：2018-06-13 12:33

本文选题：碳排放权市场 + 石油市场　；参考：《暨南大学》2015年硕士论文

【摘要】：随着国际碳减排形势的发展,碳排放权市场已经成为一个重要的新兴金融市场。碳排放权市场的运行不但关系碳排放经济产业链的发展,而且关系到全球碳减排行动的成败。研究碳排放权市场的价格波动,以及与石油市场之间的相关性无疑对于碳排放权市场的发展完善具有重要意义。本文采用碳排放权市场的代表性资产CER和石油市场的代表性资产WTI原油、Brent原油期货日收益率数据进行Copula模型拟合基础上,研究碳排放权市场和石油市场的相依性。首先,本文分别建立CER和WTI原油,CER和Brent原油两个资产组合的Copula函数模型;其次,使用核密度估计函数确定他们的边缘分布,并对两个资产组合分别进行参数估计;最后,使用欧式距离来进行Copula函数的拟合检验,并选取最优Copula函数进行相关性分析。研究结果表明,对于两个资产组合而言,Frank Copula函数是拟合度最高的Copula函数,碳资产期货日收益率和石油资产期货日收益率存在正相关,但是相关很微弱。碳排放权市场和石油市场具有对称的相依结构,尾部相关系数为0,市场尾部之间不存在传导效应。碳排放权市场和石油市场存在正相关的根本原因在于石油市场和碳排放权市场之间存在着价值链,而石油在世界能源消费结构的主导地位和石油产品二氧化碳排放系数的绝对优势进一步强化这一价值链。
[Abstract]:With the development of international carbon emission reduction, carbon emission market has become an important emerging financial market. The operation of carbon emission rights market is not only related to the development of carbon emission economic industry chain, but also related to the success or failure of global carbon emission reduction action. It is of great significance to study the price fluctuation of carbon emission market and the correlation between carbon emission market and oil market. In this paper, the dependence of carbon emission market and oil market is studied on the basis of Copula model fitting data of representative asset CER of carbon emission right market and WTI crude oil Brent futures rate of return of oil market. Firstly, the Copula function model of CER and WTI crude oil CER and Brent crude oil portfolio is established respectively. Secondly, the kernel density estimation function is used to determine their edge distribution, and the parameters of the two combinations are estimated. Euclidean distance is used to test the fitting of Copula function, and the optimal Copula function is selected for correlation analysis. The results show that the Frank Copula function is the best fitting Copula function for two asset combinations. The daily yield of carbon asset futures is positively correlated with that of oil assets futures, but the correlation is very weak. The carbon emission market and the oil market have a symmetrical dependent structure, the tail correlation coefficient is 0, and there is no conduction effect between the tail of the market. The root cause of the positive correlation between the carbon emission market and the oil market lies in the value chain between the oil market and the carbon emission market. The dominant position of petroleum in the world energy consumption structure and the absolute superiority of carbon dioxide emission coefficient of petroleum products further strengthen this value chain.
【学位授予单位】：暨南大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：X196;F831.5;F416.22;F764.1

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