A Study on the Impact of Macro Uncertainty on the Volatility of China's Carbon Emissions Trading Market
Empirical Analysis Based on GARCH-MIDAS Model
DOI:
https://doi.org/10.54097/fbem.v6i2.2780Keywords:
Macroeconomics, China carbon emission trading market, influencing factors, volatility.Abstract
This paper selects three carbon emissions trading prices in Tianjin, Guangzhou and Hubei for the period 2019-2021 as the samples and conducts a cross-sectional and longitudinal analysis of their volatility. The study shows that: (1) the price volatility and price level of carbon market in the three places differ significantly, and the difference between the highest and lowest price is significant; (2) the standard deviation of the logarithmic return of carbon trading pilot in the three places is large, and the riskiness of carbon trading is high. Based on this, this paper puts forward suggestions in four aspects: accelerating the improvement of basic system guarantee, accelerating the construction of national carbon market system, steadily promoting the construction of national carbon market, and establishing carbon market risk identification and prevention mechanism.
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