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題名 碳排交易與石油市場之共同因子—以歐盟碳排放權與布蘭特原油為例
Common Factor between Carbon and Oil Markets: Evidence from EUA and Brent Crude Oil
作者 陸恭葦
Lu, Kung-Wei
貢獻者 林士貴
Lin, Shih-Kuei
陸恭葦
Lu, Kung-Wei
關鍵詞 仿射期限結構模型
風險因子
碳排放權
原油
Affine term structure model
Risk factor
Carbon emission allowance
Crude oil
日期 2023
上傳時間 6-Jul-2023 16:46:46 (UTC+8)
摘要 隨著減少碳排放成為國內外重視之議題，企業更加關注碳排放權與原油 間是否存在風險。面對原油需求和碳排放相關監管之困境，投資者和管理 者在其風險管理策略中更需考慮養市場共同的風險因素。因此本論文建構 一個雙市場仿射期限結構模型以區分長期共同風險因子和短期異質性風險 因子，進一步分析經濟變量與風險因子間關聯性。結果顯示風險因子除與 整體經濟環境有關外，共同與各別市場異質性風險因子之獨特型態，以及與經濟變數關聯性亦提供有助於風險管理之資訊。
As carbon reduction becomes increasingly crucial globally, enterprises pay more attention to the risk between carbon emissions and crude oil. Facing the dilemma of crude oil demand and carbon-related regulation, investors and man- agers consider the common risk factor in their risk management strategy. As a result, this paper constructs a two-market affine term structure model to distin- guish the long-term common risk factor and short-term idiosyncratic factors. After investigating the linkage between economic variables and risk factors, we found that risk factors have something to do with the whole economic environment. The unique pattern in common and idiosyncratic components also indicates the market conditions that are helpful in risk management.
參考文獻 Alberola, E., Chevallier, J., and Chèze, B. (2008). Price drivers and structural breaks in European carbon prices 2005–2007. Energy Policy, 36(2):787–797.
Balcılar, M., Demirer, R., Hammoudeh, S., and Nguyen, D. K. (2016). Risk spillovers across the energy and carbon markets and hedging strategies for carbon risk. Energy Economics, 54:159–172.
Barsky, R. B. and Kilian, L. (2004). Oil and the macroeconomy since the 1970s. The Journal of Economic Perspectives, 18(4):115–134.
Basak, S. and Pavlova, A. (2016). A model of financialization of commodities. The Journal of Finance, 71(4):1511–1556.
Benz, E. and Trück, S. (2009). Modeling the price dynamics of CO2 emission allowances. Energy Economics, 31(1):4–15.
Casassus, J. and Collin-Dufresne, P. (2005). Stochastic convenience yield implied from com- modity futures and interest rates. The Journal of Finance, 60(5):2283–2331.
Chen, J., Ewald, C., Ouyang, R., Westgaard, S., Xiao, X., et al. (2022). Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility: The case of Brent crude oil. Annals of Operations Research, 313(1):29–46.
Cheng, I.-H. and Xiong, W. (2014). Financialization of commodity markets. Annual Review of Financial Economics, 6(1):419–441.
Chevallier, J. (2012). Time-varying correlations in oil, gas and CO2 prices: An application using BEKK, CCC and DCC-MGARCH models. Applied Economics, 44(32):4257–4274.
Chiang, I.-H. E., Hughen, W. K., and Sagi, J. S. (2015). Estimating oil risk factors using infor- mation from equity and derivatives markets. The Journal of Finance, 70(2):769–804.
Christensen, J. H., Diebold, F. X., and Rudebusch, G. D. (2011). The affine arbitrage-free class of Nelson–Siegel term structure models. Journal of Econometrics, 164(1):4–20.
Delle Chiaie, S., Ferrara, L., and Giannone, D. (2022). Common factors of commodity prices. Journal of Applied Econometrics, 37(3):461–476.
Duffee, G. R. (2002). Term premia and interest rate forecasts in affine models. The Journal of Finance, 57(1):405–443.
Duffee, G. R. and Stanton, R. H. (2012). Estimation of dynamic term structure models. The Quarterly Journal of Finance, 2(2):1250008.
Gao, X., Li, B., and Liu, R. (2022). The relative pricing of WTI and Brent crude oil futures: Expectations or risk premia? Journal of Commodity Markets, :100274.
Gorton, G. and Rouwenhorst, K. G. (2006). Facts and fantasies about commodity futures. Financial Analysts Journal, 62(2):47–68.
Hamilton, J. D. (2003). What is an oil shock? Journal of Econometrics, 113(2):363–398. Heath, D. (2019). Macroeconomic factors in oil futures markets. Management Science,
65(9):4407–4421.
Hintermann, B. (2010). Allowance price drivers in the first phase of the eu ets. Journal of
Environmental Economics and Management, 59(1):43–56.
Ji, Q., Zhang, D., and Geng, J.-b. (2018). Information linkage, dynamic spillovers in prices and volatility between the carbon and energy markets. Journal of Cleaner Production, 198:972– 978.
Jin, J., Han, L., Wu, L., and Zeng, H. (2020). The hedging effect of green bonds on carbon market risk. International Review of Financial Analysis, 71:101509.
Kanamura, T. (2009). A classification study of carbon assets into commodities. Avaliable at SSRN.
Kanamura, T. (2016). Role of carbon swap trading and energy prices in price correlations and volatilities between carbon markets. Energy Economics, 54:204–212.
Kang, B., Nikitopoulos, C. S., and Prokopczuk, M. (2020). Economic determinants of oil futures volatility: A term structure perspective. Energy Economics, 88:104743.
Keppler, J. H. and Mansanet-Bataller, M. (2010). Causalities between CO2, electricity, and other energy variables during phase I and phase II of the EU ETS. Energy Policy, 38(7):3329– 3341.
Kilian, L. (2009). Not all oil price shocks are alike: Disentangling demand and supply shocks in the crude oil market. American Economic Review, 99(3):1053–1069.
Koop, G. and Tole, L. (2013). Forecasting the european carbon market. Journal of the Royal Statistical Society: Series A (Statistics in Society), 176(3):723–741.
Lutz, B. J., Pigorsch, U., and Rotfuß, W. (2013). Nonlinearity in cap-and-trade systems: The EUA price and its fundamentals. Energy Economics, 40:222–232.
Ma, Z., Yan, Y., Wu, R., and Li, F. (2021). Research on the correlation between WTI crude oil futures price and European carbon futures price. Frontiers in Energy Research, 9:735665.
Palao, F. and Pardo, Á. (2021). The inconvenience yield of carbon futures. Energy Economics, 101:105461.
Rizvi, S. K. A., Naqvi, B., Boubaker, S., and Mirza, N. (2022). The power play of natural gas and crude oil in the move towards the financialization of the energy market. Energy Economics, 112:106131.
Schwartz, E. S. (1997). The stochastic behavior of commodity prices: Implications for valuation and hedging. The Journal of Finance, 52(3):923–973.
Trolle, A. B. and Schwartz, E. S. (2009). Unspanned stochastic volatility and the pricing of commodity derivatives. The Review of Financial Studies, 22(11):4423–4461.
Wang, Y. and Guo, Z. (2018). The dynamic spillover between carbon and energy markets: New evidence. Energy, 149:24–33.
Zhang, Y.-J. and Sun, Y.-F. (2016). The dynamic volatility spillover between European carbon trading market and fossil energy market. Journal of Cleaner Production, 112:2654–2663.
描述 碩士
國立政治大學
金融學系
110352015
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0110352015
資料類型 thesis
dc.contributor.advisor 林士貴zh_TW
dc.contributor.advisor Lin, Shih-Kueien_US
dc.contributor.author (Authors) 陸恭葦zh_TW
dc.contributor.author (Authors) Lu, Kung-Weien_US
dc.creator (作者) 陸恭葦zh_TW
dc.creator (作者) Lu, Kung-Weien_US
dc.date (日期) 2023en_US
dc.date.accessioned 6-Jul-2023 16:46:46 (UTC+8)-
dc.date.available 6-Jul-2023 16:46:46 (UTC+8)-
dc.date.issued (上傳時間) 6-Jul-2023 16:46:46 (UTC+8)-
dc.identifier (Other Identifiers) G0110352015en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/145859-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 金融學系zh_TW
dc.description (描述) 110352015zh_TW
dc.description.abstract (摘要) 隨著減少碳排放成為國內外重視之議題，企業更加關注碳排放權與原油 間是否存在風險。面對原油需求和碳排放相關監管之困境，投資者和管理 者在其風險管理策略中更需考慮養市場共同的風險因素。因此本論文建構 一個雙市場仿射期限結構模型以區分長期共同風險因子和短期異質性風險 因子，進一步分析經濟變量與風險因子間關聯性。結果顯示風險因子除與 整體經濟環境有關外，共同與各別市場異質性風險因子之獨特型態，以及與經濟變數關聯性亦提供有助於風險管理之資訊。zh_TW
dc.description.abstract (摘要) As carbon reduction becomes increasingly crucial globally, enterprises pay more attention to the risk between carbon emissions and crude oil. Facing the dilemma of crude oil demand and carbon-related regulation, investors and man- agers consider the common risk factor in their risk management strategy. As a result, this paper constructs a two-market affine term structure model to distin- guish the long-term common risk factor and short-term idiosyncratic factors. After investigating the linkage between economic variables and risk factors, we found that risk factors have something to do with the whole economic environment. The unique pattern in common and idiosyncratic components also indicates the market conditions that are helpful in risk management.en_US
dc.description.tableofcontents 摘要............................................. i Abstract.........................................ii Contents........................................iii ListofFigures.....................................v ListofTables ....................................vi
1 緒論........................................... 1
2 文獻回顧........................................ 6
2.1 原油市場因子模型與實證分析 ......................... 6
2.2 碳排放權市場因子模型與實證分析 ...................... 8
2.3 原油與碳排放權市場相關性研究........................ 9
3 研究方法........................................ 11
3.1 仿射期限結構模型................................ 11
3.2 大宗商品期貨評價公式 ............................. 13
3.3 卡爾曼濾波與參數校準 ............................. 14
4 實證分析........................................ 17
4.1 資料描述..................................... 17
4.2 參數估計結果 .................................. 22
4.3 模型表現..................................... 23
4.4 風險因子與經濟變數關聯性 .......................... 28
5 結論與未來展望.................................... 35
5.1 結論........................................ 35
5.2 未來展望..................................... 35
References.......................................... 37 Appendix .......................................... 40		zh_TW
dc.format.extent 2666438 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0110352015en_US
dc.subject (關鍵詞) 仿射期限結構模型zh_TW
dc.subject (關鍵詞) 風險因子zh_TW
dc.subject (關鍵詞) 碳排放權zh_TW
dc.subject (關鍵詞) 原油zh_TW
dc.subject (關鍵詞) Affine term structure modelen_US
dc.subject (關鍵詞) Risk factoren_US
dc.subject (關鍵詞) Carbon emission allowanceen_US
dc.subject (關鍵詞) Crude oilen_US
dc.title (題名) 碳排交易與石油市場之共同因子—以歐盟碳排放權與布蘭特原油為例zh_TW
dc.title (題名) Common Factor between Carbon and Oil Markets: Evidence from EUA and Brent Crude Oilen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Alberola, E., Chevallier, J., and Chèze, B. (2008). Price drivers and structural breaks in European carbon prices 2005–2007. Energy Policy, 36(2):787–797.
Balcılar, M., Demirer, R., Hammoudeh, S., and Nguyen, D. K. (2016). Risk spillovers across the energy and carbon markets and hedging strategies for carbon risk. Energy Economics, 54:159–172.
Barsky, R. B. and Kilian, L. (2004). Oil and the macroeconomy since the 1970s. The Journal of Economic Perspectives, 18(4):115–134.
Basak, S. and Pavlova, A. (2016). A model of financialization of commodities. The Journal of Finance, 71(4):1511–1556.
Benz, E. and Trück, S. (2009). Modeling the price dynamics of CO2 emission allowances. Energy Economics, 31(1):4–15.
Casassus, J. and Collin-Dufresne, P. (2005). Stochastic convenience yield implied from com- modity futures and interest rates. The Journal of Finance, 60(5):2283–2331.
Chen, J., Ewald, C., Ouyang, R., Westgaard, S., Xiao, X., et al. (2022). Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility: The case of Brent crude oil. Annals of Operations Research, 313(1):29–46.
Cheng, I.-H. and Xiong, W. (2014). Financialization of commodity markets. Annual Review of Financial Economics, 6(1):419–441.
Chevallier, J. (2012). Time-varying correlations in oil, gas and CO2 prices: An application using BEKK, CCC and DCC-MGARCH models. Applied Economics, 44(32):4257–4274.
Chiang, I.-H. E., Hughen, W. K., and Sagi, J. S. (2015). Estimating oil risk factors using infor- mation from equity and derivatives markets. The Journal of Finance, 70(2):769–804.
Christensen, J. H., Diebold, F. X., and Rudebusch, G. D. (2011). The affine arbitrage-free class of Nelson–Siegel term structure models. Journal of Econometrics, 164(1):4–20.
Delle Chiaie, S., Ferrara, L., and Giannone, D. (2022). Common factors of commodity prices. Journal of Applied Econometrics, 37(3):461–476.
Duffee, G. R. (2002). Term premia and interest rate forecasts in affine models. The Journal of Finance, 57(1):405–443.
Duffee, G. R. and Stanton, R. H. (2012). Estimation of dynamic term structure models. The Quarterly Journal of Finance, 2(2):1250008.
Gao, X., Li, B., and Liu, R. (2022). The relative pricing of WTI and Brent crude oil futures: Expectations or risk premia? Journal of Commodity Markets, :100274.
Gorton, G. and Rouwenhorst, K. G. (2006). Facts and fantasies about commodity futures. Financial Analysts Journal, 62(2):47–68.
Hamilton, J. D. (2003). What is an oil shock? Journal of Econometrics, 113(2):363–398. Heath, D. (2019). Macroeconomic factors in oil futures markets. Management Science,
65(9):4407–4421.
Hintermann, B. (2010). Allowance price drivers in the first phase of the eu ets. Journal of
Environmental Economics and Management, 59(1):43–56.
Ji, Q., Zhang, D., and Geng, J.-b. (2018). Information linkage, dynamic spillovers in prices and volatility between the carbon and energy markets. Journal of Cleaner Production, 198:972– 978.
Jin, J., Han, L., Wu, L., and Zeng, H. (2020). The hedging effect of green bonds on carbon market risk. International Review of Financial Analysis, 71:101509.
Kanamura, T. (2009). A classification study of carbon assets into commodities. Avaliable at SSRN.
Kanamura, T. (2016). Role of carbon swap trading and energy prices in price correlations and volatilities between carbon markets. Energy Economics, 54:204–212.
Kang, B., Nikitopoulos, C. S., and Prokopczuk, M. (2020). Economic determinants of oil futures volatility: A term structure perspective. Energy Economics, 88:104743.
Keppler, J. H. and Mansanet-Bataller, M. (2010). Causalities between CO2, electricity, and other energy variables during phase I and phase II of the EU ETS. Energy Policy, 38(7):3329– 3341.
Kilian, L. (2009). Not all oil price shocks are alike: Disentangling demand and supply shocks in the crude oil market. American Economic Review, 99(3):1053–1069.
Koop, G. and Tole, L. (2013). Forecasting the european carbon market. Journal of the Royal Statistical Society: Series A (Statistics in Society), 176(3):723–741.
Lutz, B. J., Pigorsch, U., and Rotfuß, W. (2013). Nonlinearity in cap-and-trade systems: The EUA price and its fundamentals. Energy Economics, 40:222–232.
Ma, Z., Yan, Y., Wu, R., and Li, F. (2021). Research on the correlation between WTI crude oil futures price and European carbon futures price. Frontiers in Energy Research, 9:735665.
Palao, F. and Pardo, Á. (2021). The inconvenience yield of carbon futures. Energy Economics, 101:105461.
Rizvi, S. K. A., Naqvi, B., Boubaker, S., and Mirza, N. (2022). The power play of natural gas and crude oil in the move towards the financialization of the energy market. Energy Economics, 112:106131.
Schwartz, E. S. (1997). The stochastic behavior of commodity prices: Implications for valuation and hedging. The Journal of Finance, 52(3):923–973.
Trolle, A. B. and Schwartz, E. S. (2009). Unspanned stochastic volatility and the pricing of commodity derivatives. The Review of Financial Studies, 22(11):4423–4461.
Wang, Y. and Guo, Z. (2018). The dynamic spillover between carbon and energy markets: New evidence. Energy, 149:24–33.
Zhang, Y.-J. and Sun, Y.-F. (2016). The dynamic volatility spillover between European carbon trading market and fossil energy market. Journal of Cleaner Production, 112:2654–2663.		zh_TW