碳權交易相關指數及其影響因素之研究－以風險值為例

Carbon Emission Index and Its Impact Factors－ Value at Risk as An Example

許吳謙(Wu-Chien Hsu)

指導教授 ： ARRAY(0xa7be938)

中原大學/商學院/企業管理研究所/碩士(2010年)

https://doi.org/10.6840/cycu201000579

摘要

在1997年的京都議定書及2009年的哥本哈根會議結束以後，碳排放的減量也逐漸成為全世界所關注的焦點。自從碳權交易制度出現以來，在市場上也逐漸發展出以碳權交易為主的衍生性金融商品。本研究首先透過風險值分析工具，求算出歐洲、美國、加拿大及日本四個地區的碳權交易相關指數之風險值（Value at Risk）。接著利用所求得之風險值和上述各地區之總體經濟資料進行分析。包括失業率（Unemployment rate， U）、工業生產指數（Industrial Production Index，IPI）、消費者物價指數（Consumer Price Index，CPI）、十年公債殖利率（interest rate，i）、貨幣供給（M2）、及股票市場指數。透過縱橫資料模型（Panel Data Model）及近似無相關迴歸模型 (Seemingly Uncorrelated Regressions，SUR)的實證結果，了解各總體經濟變數是否和碳權指數的風險值之間存在顯著的關係。
　而本研究在採用一元固定模型效果檢定後，實証結果顯示，當失業率越高，碳權交易之風險值有上升的情況。另發現在股票市場空頭時，碳權交易市場之波動性與風險反而上升。當全球股市逐漸衰退，物價及失業率節節升高的同時，碳權交易市場則漸趨熱絡；而其價量的大幅變動也提高碳權交易市場的風險值。接著在全球化加入迴歸模型的考量，以近似無相關迴歸模型進行實證研究。結果發現將全球化加入考量後，失業率已無顯著關係。消費者物價指數與碳權交易指數之風險值具有正向的顯著關係。貨幣供給與碳權交易指數之風險值具有較為微弱的負向關係，以及股票市場指數與碳權交易指數之風險值之間顯著的負向關係。由此可知在全球化交易市場中，當消費者物價指數增加時，將影響股票市場趨向空頭，而造成碳權交易市場的價量波動漸劇；進而使其風險值上升。因此，在投資碳權交易市場時，必須先對其他相關價格指數及其風險的變動有所了解，才能充分達到其避險效果。

關鍵字

風險值 ； 碳權

並列摘要

From Kyoto Protocol in 1997 to Copenhagen Accord （COP15） in 2009, the carbon emissions reduction has become the focus around the world. Since the carbon trading system has begun to work, the carbon trading derivatives gradually developed in the market. First, this research uses the Value at Risk (VaR) analysis tools to calculate the VaR of the carbon emission indicies of Europe, the United States, Canada and Japan. In addition, this research is to understand the relationship between the VaR and the macroeconomic variables in these four regions. The effects of these macroeconomics variables including Unemployment rate, Industrial Production Index, Consumer Price Index, ten-year yield government bond, money supply (M2) and the stock index on the VaR are estimated by using of the Panel Data Model and the Seemingly Uncorrelated Regressions (SUR).
From the results of the One-Way Fixed Effects Model, the effect of unemployment rate on the VaR is positive. The bearish stock market often experienced with higher carbon market volatility and risk. Under the increasing price and unemployment rate associated with gradual decline in the global stock markets, the carbon trading market has become more vigorous. Thus, the changes of its price and volume also increased the VaR of carbon trading significantly. Considering the globalization into the regression models (SUR), the results show that the unemployment rate is no longer significantly related, while consumer price index and the VaR of carbon emission index have a positive significant relationship. There is a weak negative relationship between Money supply and the VaR of carbon emission index. Moreover, it has a significant negative relationship between the stock index and the VaR, suggesting that the increases of consumer price index will affect the stock market toward a bear market. This will lead to the fluctuations of market price and volume of carbon trading more intense in the global market. In order to obtain fully hedging, investors in carbon trading market must be awareness of the changes and risk of other related price indices.

並列關鍵字

VaR ； carbon emission

參考文獻

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