欧盟碳排放权交易价格、能源商品和股票市场的相关性研究—

Society and Economy

2995-49592995-4975

Art and Technology

10.61369/SE.2026010012

Article

欧盟碳排放权交易价格、能源商品和股票市场的相关性研究——基于动态条件相关性方法https://artdesignp.com/journal/SE/4/1/10.61369/SE.2026010012黄志伟

2026

2026-01-20

本文运用Engle（2002）提出的动态条件相关GARCH 模型（DCC-GARCH Model），研究欧盟碳排放权交易价格、能源商品与欧洲股票市场间的条件相关性。实证发现，2005~2007年间，碳排放权交易价格、能源商品与股票市场之间存在固定的条件相关性；2008-2012年间，碳排放权交易价格、能源商品与股票市场之间存在动态的条件相关性，并且各能源商品市场与股票市场之间也存在动态的条件相关性。进一步发现金融危机后动态条件相关性，呈现明显增加的趋势。碳排放权交易价格,动态条件相关性,双变量DCC-GARCH 模型

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