سرریز ریسک و هم تغییری میان بازار معاملات مجوز انتشار کربن و بازارهای کالایی

نوع مقاله : مقاله پژوهشی

نویسندگان

1 دانشجوی دکتری تخصصی، گروه مدیریت مالی، واحد رودهن، دانشگاه آزاد اسلامی، رودهن، ایران

2 استاد، گروه حسابداری ، واحد علوم و تحقیقات تهران، دانشگاه آزاد اسلامی، تهران، ایران

3 استادیار، گروه مدیریت و حسابداری، واحد رودهن، دانشگاه آزاد اسلامی ، رودهن، ایران

10.30495/jik.2024.77532.4521

چکیده

ریسک سیستمی به واسطه ریسک پذیر بودن اجزای تشکیل دهنده سیستم مالی ایجاد می گردد و بدلیل وجود ارتباط میان بازارها در سیستم مالی سرایت می یابد. این پژوهش به نحوه سرایت ریسک های مطلوب و نامطلوب بین بازارهای دارایی های مبتنی بر کربن و بازارهای کالایی شامل بازار انرژی، فلزات اساسی و محصولات کشاورزی و نحوه تاثیر گذاری هر یک از این بخش‌ها بر ریسک سیستمی در سیستمی متشکل از بازارهای کالایی پرداخته است. بدین منظور پس از جمع آوری داده ها و محاسبه بازدهی داده های روزانه به صورت پیوسته، با استفاده از فرایند ARMA -APGARCH فیلتر شده و مقادیر باقیمانده مبنای برآورد توزیع های حاشیه ای هر یک از متغیرها قرار می‌گیرند. در ادامه سنجه CoVaR برای اندازه گیری سرریز ریسک مطلوب و نامطلوب بین هر یک از بازارهای مورد بررسی، محاسبه می‌شود. نتایج پژوهش نشان داد از منظر بروز رخدادهای نامطلوب در بازار فلزات اساسی، بازار محصولات کشاورزی و بازار نفت و انتظار تاثیر این رخدادها بر وقوع و تشدید رخداد های حدی و بحرانی در سری زمانی بازدهی های بازار اوراق انتشار کرین، می توان بازار انتشار اوراق کربن را طبقه متفاوتی از بازارهای کالایی مورد بررسی تلقی نمود.

کلیدواژه‌ها


عنوان مقاله [English]

Risk spillover and co-change between the carbon emissions trading market and commodity markets

نویسندگان [English]

  • Mehdi Darvishkhezri 1
  • Fereydon Rahnamay Roodpposhti 2
  • bita tabrizian 3
  • narges yazdanian 3
1 Ph.D Student in Financial Management, roudehen branch,Islamic Azad University,Roudehen,Iran
2 Professor of Accounting Department, Science and Research Branch, Islamic Azad University, Tehran, Iran
3 Assistant of professor, Department of management and accounting, roudehen branch,Islamic Azad University,Roudehen,Iran
چکیده [English]

Systemic risk is created due to the risk-taking of the components of the financial system and spreads due to the existence of communication between markets in the financial system. This research deals with the spread of favorable and unfavorable risks between carbon-based asset markets and commodity markets, including the energy market, basic metals, and agricultural products, and how each of these sectors affects systemic risk in a system consisting of commodity markets. For this purpose after collecting data and calculating the daily data returns continuously, it is filtered using the ARMA-APGARCH process and the remaining values are used as the basis for estimating and estimating the marginal distributions of each variable. Next, the CoVaR measure is calculated to measure the favorable and unfavorable risk spillover between each of the investigated markets. From the perspective of the occurrence of adverse events in the basic metals market, the agricultural products market and the oil market and the expectation of the impact of these events on the occurrence and escalation of extreme and critical events in the time series of the yields of the carbon bond market, the carbon bond bond market can be classified into a different class, Considered from the commodity markets under investigation.

کلیدواژه‌ها [English]

  • systemic risk
  • risk spillover
  • favorable and unfavorable risk
  • carbon bond market
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