動態條件相關性──碳排放配額之實證

Dynamic Conditional Correlation– Evidences from EUA

本文應用Engle(2002)提出之動態條件相關GARCH模型(DCC-GARCH Model)，探討歐盟碳排放交易計畫之碳排放權配額、能源商品與歐洲股票市場間之條件相關性。實證發現，第一階段之碳排放交易計畫(2005-2007)，碳排放權配額、能源商品與股票市場之條件相關性，並無法拒絕條件相關性為固定之虛無假設，但第二階段之碳排放交易計畫(2008-2012)，碳排放權配額、能源商品與股票市場之條件相關性卻存在顯著之動態行為。並且，發現各能源商品市場與股票市場彼此之間相關性，均拒絕條件相關性為固定之虛無假設，顯示各能源商品與股票市場之間亦存在動態條件相關性。最後，隨著第二階段京都議定書的正式營運且受到全球金融危機的影響，碳排放權配額、能源商品與股票市場之間的動態條件相關性，明顯呈現增加之趨勢。

In this paper, we apply the dynamic condition correlation (DCC) bivariate GARCH model, proposed by Engle (2002), to investigating conditional correlation on European Union Allowance (EUA) and those of other commodities and European stock market after the EU ETS is organized in distinct phases. The empirical results are as follows: First, the EUA and those of other commodities and stock market cannot reject the null hypothesis of a constant conditional correlation within the first phase of the market. However, the EUA and those of other commodities and stock market reveal the fact that the dynamic conditional correlation behavior is under the second phase. Second, we have found that significant conditional correlation exists in the commodities and stock market. Third, the estimates of the correlation coefficient suggest that an increasing tendency of correlation coefficient between EUA and those of other commodities and stock market is significantly related to the Kyoto Protocol and global financial crisis.