隨著減少碳排放成為國內外重視之議題，企業更加關注碳排放權與原油 間是否存在風險。面對原油需求和碳排放相關監管之困境，投資者和管理 者在其風險管理策略中更需考慮養市場共同的風險因素。因此本論文建構 一個雙市場仿射期限結構模型以區分長期共同風險因子和短期異質性風險 因子，進一步分析經濟變量與風險因子間關聯性。結果顯示風險因子除與 整體經濟環境有關外，共同與各別市場異質性風險因子之獨特型態，以及與經濟變數關聯性亦提供有助於風險管理之資訊。

As carbon reduction becomes increasingly crucial globally, enterprises pay more attention to the risk between carbon emissions and crude oil. Facing the dilemma of crude oil demand and carbon-related regulation, investors and man- agers consider the common risk factor in their risk management strategy. As a result, this paper constructs a two-market affine term structure model to distin- guish the long-term common risk factor and short-term idiosyncratic factors. After investigating the linkage between economic variables and risk factors, we found that risk factors have something to do with the whole economic environment. The unique pattern in common and idiosyncratic components also indicates the market conditions that are helpful in risk management.

Alberola, E., Chevallier, J., and Chèze, B. (2008). Price drivers and structural breaks in European carbon prices 2005–2007. Energy Policy, 36(2):787–797.
Balcılar, M., Demirer, R., Hammoudeh, S., and Nguyen, D. K. (2016). Risk spillovers across the energy and carbon markets and hedging strategies for carbon risk. Energy Economics, 54:159–172.
Barsky, R. B. and Kilian, L. (2004). Oil and the macroeconomy since the 1970s. The Journal of Economic Perspectives, 18(4):115–134.
Basak, S. and Pavlova, A. (2016). A model of financialization of commodities. The Journal of Finance, 71(4):1511–1556.
Benz, E. and Trück, S. (2009). Modeling the price dynamics of CO2 emission allowances. Energy Economics, 31(1):4–15.
Casassus, J. and Collin-Dufresne, P. (2005). Stochastic convenience yield implied from com- modity futures and interest rates. The Journal of Finance, 60(5):2283–2331.
Chen, J., Ewald, C., Ouyang, R., Westgaard, S., Xiao, X., et al. (2022). Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility: The case of Brent crude oil. Annals of Operations Research, 313(1):29–46.
Cheng, I.-H. and Xiong, W. (2014). Financialization of commodity markets. Annual Review of Financial Economics, 6(1):419–441.
Chevallier, J. (2012). Time-varying correlations in oil, gas and CO2 prices: An application using BEKK, CCC and DCC-MGARCH models. Applied Economics, 44(32):4257–4274.
Chiang, I.-H. E., Hughen, W. K., and Sagi, J. S. (2015). Estimating oil risk factors using infor- mation from equity and derivatives markets. The Journal of Finance, 70(2):769–804.
Christensen, J. H., Diebold, F. X., and Rudebusch, G. D. (2011). The affine arbitrage-free class of Nelson–Siegel term structure models. Journal of Econometrics, 164(1):4–20.
Delle Chiaie, S., Ferrara, L., and Giannone, D. (2022). Common factors of commodity prices. Journal of Applied Econometrics, 37(3):461–476.
Duffee, G. R. (2002). Term premia and interest rate forecasts in affine models. The Journal of Finance, 57(1):405–443.
Duffee, G. R. and Stanton, R. H. (2012). Estimation of dynamic term structure models. The Quarterly Journal of Finance, 2(2):1250008.
Gao, X., Li, B., and Liu, R. (2022). The relative pricing of WTI and Brent crude oil futures: Expectations or risk premia? Journal of Commodity Markets, :100274.
Gorton, G. and Rouwenhorst, K. G. (2006). Facts and fantasies about commodity futures. Financial Analysts Journal, 62(2):47–68.
Hamilton, J. D. (2003). What is an oil shock? Journal of Econometrics, 113(2):363–398. Heath, D. (2019). Macroeconomic factors in oil futures markets. Management Science, 65(9):4407–4421.
Hintermann, B. (2010). Allowance price drivers in the first phase of the eu ets. Journal of Environmental Economics and Management, 59(1):43–56.
Ji, Q., Zhang, D., and Geng, J.-b. (2018). Information linkage, dynamic spillovers in prices and volatility between the carbon and energy markets. Journal of Cleaner Production, 198:972– 978.
Jin, J., Han, L., Wu, L., and Zeng, H. (2020). The hedging effect of green bonds on carbon market risk. International Review of Financial Analysis, 71:101509.
Kanamura, T. (2009). A classification study of carbon assets into commodities. Avaliable at SSRN.
Kanamura, T. (2016). Role of carbon swap trading and energy prices in price correlations and volatilities between carbon markets. Energy Economics, 54:204–212.
Kang, B., Nikitopoulos, C. S., and Prokopczuk, M. (2020). Economic determinants of oil futures volatility: A term structure perspective. Energy Economics, 88:104743.
Keppler, J. H. and Mansanet-Bataller, M. (2010). Causalities between CO2, electricity, and other energy variables during phase I and phase II of the EU ETS. Energy Policy, 38(7):3329– 3341.
Kilian, L. (2009). Not all oil price shocks are alike: Disentangling demand and supply shocks in the crude oil market. American Economic Review, 99(3):1053–1069.
Koop, G. and Tole, L. (2013). Forecasting the european carbon market. Journal of the Royal Statistical Society: Series A (Statistics in Society), 176(3):723–741.
Lutz, B. J., Pigorsch, U., and Rotfuß, W. (2013). Nonlinearity in cap-and-trade systems: The EUA price and its fundamentals. Energy Economics, 40:222–232.
Ma, Z., Yan, Y., Wu, R., and Li, F. (2021). Research on the correlation between WTI crude oil futures price and European carbon futures price. Frontiers in Energy Research, 9:735665.
Palao, F. and Pardo, Á. (2021). The inconvenience yield of carbon futures. Energy Economics, 101:105461.
Rizvi, S. K. A., Naqvi, B., Boubaker, S., and Mirza, N. (2022). The power play of natural gas and crude oil in the move towards the financialization of the energy market. Energy Economics, 112:106131.
Schwartz, E. S. (1997). The stochastic behavior of commodity prices: Implications for valuation and hedging. The Journal of Finance, 52(3):923–973.
Trolle, A. B. and Schwartz, E. S. (2009). Unspanned stochastic volatility and the pricing of commodity derivatives. The Review of Financial Studies, 22(11):4423–4461.
Wang, Y. and Guo, Z. (2018). The dynamic spillover between carbon and energy markets: New evidence. Energy, 149:24–33.
Zhang, Y.-J. and Sun, Y.-F. (2016). The dynamic volatility spillover between European carbon trading market and fossil energy market. Journal of Cleaner Production, 112:2654–2663.