- 學位論文
An Empirical Study on the Volatility Spillovers, Long Memory Effects and Interactions between Carbon and Energy Markets: The Impacts of Extreme Weather
An Empirical Study on the Volatility Spillovers, Long Memory Effects and Interactions between Carbon and Energy Markets: The Impacts of Extreme Weather
摘要
近年因為氣候變遷所引發的環境議題日益受到重視，在京都議定書的規範下產生新的排放交易市場─碳權市場。又因為能源的使用會產生二氧化碳的排放，而二氧化碳的排放又會造成氣候異常，嚴冬酷暑又會推升能源使用的需求。因此，有鑒於能源使用、二氧化碳排放及氣候的關聯性，本文以碳權、原油、天然氣及煤期貨作為主要研究對象，並應用FIEC-HYGARCH模型分析其互動性、波動外溢與長期記憶效果，同時兼論極端氣候介入之效果。樣本期間為2008年1月1日至2011 年12月31日。 實證結果證明FIEC-HYGARCH模型可以正確的捕捉長期之波動，碳權與能源期貨(石油、天然氣與煤)報酬率具有長期記憶與自我外溢效果；同時條件變異亦具顯著之波動外溢、長期記憶與波動振幅，顯示碳權與能源期貨報酬率具有動態關聯性。納入極端氣候因素後，碳權與能源期貨報酬率之長期記憶會延長、波動外溢效果與波動持續性亦有產生變化之現象，顯示極端氣候會對碳權與能源期貨產生影響。
並列摘要
The environmental issues caused by climate change are getting a great deal of concerns in recent years. Under the mechanisms and regulations of Kyoto Protocol, there comes a new market for emissions trading, carbon market. Additionally, energy uses cause carbon emissions, leading to abnormal climate change and increased energy consumption under extreme cold and hot events. Therefore, due to the connections of energy uses, carbon emissions and climate, this study investigates the interactions, volatility spillovers, and long memory effects for carbon, oil, natural gas and coal markets by using FIEC-HYGARCH model. It also discusses the mediating effect of extreme weather. The sample period of this study is from January 1, 2008 to December 31, 2011. The empirical results verify that the FIEC-HYGARCH model can capture the long-term volatility behavior. The futures returns of carbon and energy have long memory and own-mean spillover effects. Moreover, the conditional variances also have volatility spillovers, long memory effects and amplitudes. Hence, there exist dynamic interrelationships among the futures returns of carbon and energy. Further, it also extends the long memory and causes various spillover effects by incorporating extreme weather into the model, indicating that extreme weather has certain impacts on carbon, oil, natural gas and coal markets.