南湖新闻网讯（通讯员 王嘉澜）近日，我校粮食安全数智治理实验室、经济管理学院粮食风险管理研究团队以“Evolution and Management of Price Risk in the Carbon Market: the Role of Hedging”为题在国际农业经济学期刊American Journal of Agricultural Economics上发表最新研究成果。该研究提出了一套新的期货市场套期保值策略，并以欧盟碳期货市场为例论证了套期保值策略的有效性和应用价值。

价格风险管理是现代商品市场交易的核心议题，期货期权成为重要市场化风险管理工具。本研究突破了主流的最小方差套期保值（Min-Var）理论框架，创新性地提出了最小风险成本套期保值（Min-CoR）的理论模型和策略，为商品市场交易者提供了一种新的套期保值决策工具。

欧盟碳排放权交易系统（EU-ETS）是全球最大的碳交易市场体系。自2018年起碳市场价格波动显著增加，然而参与企业的总体套期保值需求却呈现持续下降的趋势。基于这一反常现象，本研究聚焦讨论碳期货作为价格风险管理工具的有效性和改进思路。实证研究发现，欧盟碳价格分布呈现显著的“厚尾”与“高峰态”特征，表明极端价格冲击发生的概率高于正态分布假设下的预期。风险分解结果显示，绝大多数条件下价格分布的下尾区域是风险成本的主要来源；在碳价大跌时期，上尾风险会暂时成为主导，这些发现凸显了风险结构随市场条件变化而呈动态演化的特征。

进一步研究发现，Min-CoR套期保值策略可以有效应对各类碳价格风险情形。即使在2018年后价格波动加剧、市场投机上升的情形下，Min-CoR策略仍可降低95%以上的风险成本，将风险对冲有效性维持在高水平，更好实现企业风险管理的核心需求。

华中农业大学粮食安全数智治理实验室、经济管理学院博士生王嘉澜为论文第一作者，李剑教授为论文通讯作者，熊涛教授和美国威斯康星大学麦迪逊分校Jean-Paul Chavas教授合作开展该研究。该研究获得了国家自然科学基金、国家社会科学基金等项目的支持。

审核人：李谷成

【英文摘要】

This paper is motivated by the observed discrepancy between rising price volatility and declining hedging demand in the European Union Emission Trading System (EU ETS). To investigate whether the effectiveness of carbon futures as hedging instruments persists under varying scenarios, this paper evaluates the evolving price risk in the EU carbon market and examines the role of hedging in managing the risk. It investigates tail risk (corresponding to adverse market shocks occurring under rare events) and its temporal evolution over successive phases of EU carbon policy. Price risk is assessed empirically based on a quantile vector autoregression model of marginal price distributions along with a copula evaluation of the joint distribution of futures price and spot price. Applied to EU Allowance market over the period of 2008–2023, we find that: (1) the price distributions of both spot and futures market exhibit heavy-tailed and leptokurtosis properties, thereby highlighting the significance of tail risk under changing policy schemes, such as the four phases of the EU ETS and shifting emission and energy policies; (2) decomposing the cost of risk across quantiles, we show that the risk located at the lower tail of the price distributions plays a dominant role; (3) we propose a novel Minimum Cost-of-Risk method based on the quantile vector autoregression, which more effectively evaluates the overall hedging performance in terms of cost of risk reduction compared to the traditional Minimum-Variance method.

论文链接：https://doi.org/10.1002/ajae.70038