Abstract

Based on the linkage between the carbon asset and its related assets, an European Union investor sentiment (EUIS) index reflecting investor behavior in the EU carbon market is constructed using the principal component analysis (PCA) method, and the dynamic correlation relationship between the EUIS index and the EU allowance (EUA) futures prices is analyzed. Furthermore, the European economic policy uncertainty (EEPU) index is introduced and the GARCH-MIDAS model is applied to discuss the impact of macroeconomic uncertainty on the EUIS index. The empirical results indicate that the EUIS index constructed from indicators of the carbon asset and its related assets can reflect the sentiments of carbon market investors. There is a dynamic correlation between the EUIS index and EUA futures, with reverse correlation dominating. The significant fluctuations in their correlation are related to the occurrence of major events. The volatility of the EUIS index is negatively affected by realized volatility and positively affected by EEPU. The model confidence set (MCS) test shows that the prediction accuracy of the GARCH-MIDAS model considering low-frequency macroeconomic variables is better than that of GARCH models.

摘要

基于碳资产与其相关资产之间的联动性，采用主成分分析（PCA）方法构建了反映欧盟碳市场投资者行为的欧盟投资者情绪（EUIS）指数，并建立了EUIS与碳资产之间的动态关联关系。指数和欧盟配额（EUA）期货价格进行了分析。此外，引入欧洲经济政策不确定性（EEPU）指数，并应用GARCH-MIDAS模型讨论宏观经济不确定性对EUIS指数的影响。实证结果表明，由碳资产及其相关资产指标构建的EUIS指数能够反映碳市场投资者的情绪。EUIS指数与EUA期货之间存在动态相关性，其中反向相关性占主导地位。其相关性的显着波动与重大事件的发生有关。EUIS 指数的波动性受到已实现波动性的负面影响，并受到 EEPU 的正面影响。模型置信集（MCS）检验表明，考虑低频宏观经济变量的GARCH-MIDAS模型的预测精度优于GARCH模型。