| 美元指数对国际碳金融市场动态影响的关系研究 |
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| 引用本文： | 陈凡,杨文华.美元指数对国际碳金融市场动态影响的关系研究[J].贵州商业高等专科学校学报,2013(4):1-5. |
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| 作者姓名： | 陈凡 杨文华 |
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| 作者单位： | [1]贵州财经大学数学与统计学院,贵州贵阳550025 [2]中国工商银行市贵州省分行,贵州贵阳550004 |
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| 摘 要： | 作为全球最重要的货币,美元在通过构建VAR模型,运用脉冲响应函数、方差分解函数及格兰杰因果关系检验等计量方法分析了EUA、CER和MY之间的联动效应,研究发现：美元对碳金融市场存在信息溢出效应,但碳金融市场对美元的影响很微弱,即它们的信息溢出效应是单向的.而碳金融市场的两大子市场之间存在着先导-滞后效应,即CER市场信息能够引导EUA市场走势.
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| 关 键 词： | EUA CER 美元指数 VAR模型 |
The research on the dynamic effect between the dollar index and the international carbon finance market |
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| Yang Wen-hua.The research on the dynamic effect between the dollar index and the international carbon finance market[J].Journal of Guizhou Commercial College,2013(4):1-5. |
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| Authors: | Yang Wen-hua |
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| Institution: | Yang Wen-hua, Chen Fan ( 1. school of mathematics and statistics , Guizhou university of finance and economics , guiyang , guizhou550025 ; 2. The industrial and commercial bank of China guizhou branch, guiyang , guizhou550004) |
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| Abstract: | As one of the world＇s most important currencies, the dollar＇ s important role in the currency market will make affect on the carbon financial market. By using the VAR model, impulse response function and variance decomposition function and granger causality test and other measurement methods,we analyze the linkage between EUA, CER and The dollar index o the study found that spillover effects exists on carbon financial market information, but the carbon finan- cial market＇s influence is very weak against the dollar, the information overflow effect is one-way. The carbon financial market exists guide-lag effect between the two architectural market, namely the CER market information can guide the EUA markets. |
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| Keywords: | EUA CER US dollar index VaR model |
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