The Dynamic Relationship of Carbon Emissions Futures, WTI Futures and Green Bond Index
炭素排出先物、WTI先物、グリーンボンド指数の動的関係 (AI 翻訳)
Wo-Chiang Lee, Jenn-Jong Huang
🤖 gxceed AI 要約
日本語
AR-GJR-GARCH-Copulaを用いて、炭素排出先物、WTI先物、グリーンボンド指数のボラティリティと依存構造を2017～2023年について分析。最適モデルはノーマルコピュラ。炭素先物とWTI先物の正の相関、炭素先物とグリーンボンド指数の負の相関はともに弱い。動的モデルも静的モデルと類似した結果を示し、相関の経時的変化が確認された。
English
This paper applies AR-GJR-GARCH-Copula to examine volatility and dependence among carbon emissions futures, WTI futures, and green bond index from 2017-2023. The Normal copula fits best, with low positive correlation between carbon and WTI futures, and low negative correlation between carbon futures and green bond index. Dynamic copula yields similar results, showing time-varying correlations.
Unofficial AI-generated summary based on the public title and abstract. Not an official translation.
📝 gxceed 編集解説 — Why this matters
日本のGX文脈において
日本ではカーボン先物市場が未発達だが、本論文の手法は国内市場への応用可能性を示唆。また、グリーンボンドと炭素市場の連動性は、日本企業のリスク管理や投資戦略に参考となる。
In the global GX context
This study contributes to understanding the financial linkages between carbon markets and green bonds, relevant for climate finance and risk management globally. The copula methodology can be applied to other carbon markets, including emerging ones.
👥 読者別の含意
🔬研究者:Provides empirical evidence on the dependence structure between carbon futures and green bond index using advanced copula models.
🏢実務担当者:Useful for portfolio diversification and hedging strategies involving carbon and green assets.
🏛政策担当者:Indicates the degree of market integration between carbon and green bond markets, informing market design.
📄 Abstract（原文）
Abstract: This paper applies AR-GJR-GARCH-Copula to examine the volatility behavior and dependence structure among carbon emissions futures, WTI futures, and the green bond index during January 1, 2017, to August 31, 2023. Our findings reveal a strong rank correlation. Empirical results suggest that the best-fitting model during this period is the Normal copula. However, the Kendall tau statistic indicates a relatively lower positive relationship between the returns of carbon futures and WTI futures, as well as a lower negative relationship between the returns of carbon futures and the green bond index. Furthermore, the dynamic Normal copula model yields similar results to static copula models, demonstrating changes in data correlation levels over time. Keywords::Carbon Emission Futures, Green Bond Index, WTI Futures, Dependence, AR-GJR-GARCH-Copula JEL Classification Number: C01, C32, G28
🔗 Provenance — このレコードを発見したソース
- openalex https://doi.org/10.5281/zenodo.19710133first seen 2026-05-05 19:38:18
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