کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7350460 | 1476690 | 2018 | 45 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Predicting carbon market risk using information from macroeconomic fundamentals
ترجمه فارسی عنوان
پیش بینی ریسک بازار کربن با استفاده از اطلاعات اقتصاد کلان، یک مبنای
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
مهندسی انرژی
انرژی (عمومی)
چکیده انگلیسی
Economic theories suggest that carbon price movements are closely related to economic fundamentals. This paper develops an economic state-dependent (SD) approach to evaluate carbon market Value-at-Risk (VaR) that incorporates information from macroeconomic fundamentals into carbon return VaR modeling and forecasting. This method implements an economic SD sampling scheme that utilizes historical carbon return observations from the relevant economic states to predict future carbon market VaR. Applying this SD method to the European Union (EU) carbon market, we confirm that the EU fundamental economy has two distinct states that correspond to “expansion” and “recession” periods and that the carbon returns have different distributions in the two states. We find that the SD method outperforms the traditional non-SD methods in out-of-sample VaR forecasts, and this is particularly evident when the carbon market experiences large-scale economy-driven structural breaks.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Energy Economics - Volume 73, June 2018, Pages 212-227
Journal: Energy Economics - Volume 73, June 2018, Pages 212-227
نویسندگان
Lei Jiao, Yin Liao, Qing Zhou,