| Summary: | 碩士 === 中原大學 === 企業管理研究所 === 98 === 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.
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