经济政策不确定性对欧洲碳市场波动性的影响
The impact of economic policy uncertainties on the volatility of European carbon market
摘要：
欧盟碳排放交易计划是欧洲为实现减排目标而设计的碳排放配额交易制度。生产活动产生的碳排放量与社会经济环境密切相关。因此，本文从经济政策不确定性的角度出发，构建了GARCH-MIDAS-EUEPU和GARCH-MIDAS-GEPU模型，考察了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现货收益率的长期波动性，当变化相同时，后者的影响更大。此外，全球经济政策不确定性这一预测因子能够更好地预测欧洲碳现货收益率的波动性。本文的研究可以为市场管理者把握碳市场趋势、帮助参与者控制碳配额波动风险提供一定的启示。
英文摘要：
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.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
