摘要翻译：
欧盟排放权交易计划是欧洲为实现减排目标而设计的碳排放津贴交易制度。生产活动造成的碳排放量与社会经济环境密切相关。因此，本文从经济政策不确定性的角度出发，构建了GARCH-MIDAS-EUEPU和GARCH-MIDAS-GEPU模型，考察了欧洲和全球经济政策不确定性对碳价格波动的影响。结果表明，欧洲和全球经济政策的不确定性都会加剧欧洲碳现货回报的长期波动性，当变化相同时，后者的影响更大。此外，利用全球经济政策不确定性这一预测因子，可以更好地预测欧洲碳现货回报的波动性。本研究可为市场管理者把握碳市场趋势、帮助参与者控制碳配额波动风险提供一定的启示。
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英文标题：
《The impact of economic policy uncertainties on the volatility of
  European carbon market》
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作者：
Peng-Fei Dai, Xiong Xiong, Toan Luu Duc Huynh, Jiqiang Wang
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最新提交年份：
2021
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分类信息：

一级分类：Economics        经济学
二级分类：General Economics        一般经济学
分类描述：General methodological, applied, and empirical contributions to economics.
对经济学的一般方法、应用和经验贡献。
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一级分类：Economics        经济学
二级分类：Econometrics        计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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一级分类：Quantitative Finance        数量金融学
二级分类：Economics        经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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英文摘要：
  The European Union Emission Trading Scheme is a carbon emission allowance trading system designed by Europe to achieve emission reduction targets. The amount of carbon emission caused by production activities is closely related to the socio-economic environment. Therefore, from the perspective of economic policy uncertainty, this article constructs the GARCH-MIDAS-EUEPU and GARCH-MIDAS-GEPU models for investigating the impact of European and global economic policy uncertainty on carbon price fluctuations. The results show that both European and global economic policy uncertainty will exacerbate the long-term volatility of European carbon spot return, with the latter having a stronger impact when the change is the same. Moreover, the volatility of the European carbon spot return can be forecasted better by the predictor, global economic policy uncertainty. This research can provide some implications for market managers in grasping carbon market trends and helping participants control the risk of fluctuations in carbon allowances.
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PDF链接：
https://arxiv.org/pdf/2007.10564