碳配额市场价格非对称性波动研究——基于欧盟碳配额管理制度的实证分析  

A Study of the Asymmetry Fuctuation in the Price of Carbon Quota Market——An Analysis Based on the Management System of EU Carbon Quota

作　　者：袁嫄[1] 刘纪显[1] 张芳[2] 

机构地区：[1]华南师范大学经济与管理学院 [2]广东财经大学金融学院

出　　处：《金融论坛》2015年第5期44-53,70,共11页Finance Forum

基　　金：国家社科基金项目"碳资产的特殊风险与收益研究"(11BJY143);国家社科基金"我国生态文明建设的统计研究"(13CTJ017);广东省社科规划基金重大资助项目(打造"理论粤军"重大资助项目)"主体功能区规划下广东生态交易的理论探索--基于碳配额交易的视角"(LLYJ1318);教育部规划基金项目"国际碳资产组合选择与定价"(10YJA790114)

摘　　要：本文运用GJR-GARCH-M模型实证检验了在试验阶段和京都阶段不同的碳配额总量管理模式下,欧盟碳配额市场价格非对称性波动的特征和投资者风险偏好。研究表明,欧盟碳配额市场的价格波动在两个阶段都存在显著的"杠杆效应";虽然经济危机使欧盟在京都阶段盈余的碳配额远大于试验期,但是减少免费配额和允许未用完的碳配额储备至下一期的政策抑制了负面信息对欧盟碳配额市场的冲击,投资者的风险偏好类型也从风险爱好转为风险中性。This paper uses the GJR-GARCH-M model to present an empirical test of the features of asymmetry fluctuation in the price of EU carbon quota market in different volume management systems of carbon quota in the trial stage and the Kyoto stage. The results of the paper show that the fluctuation in the price of EU carbon quota market indicates a significant ' leverage effect' in the two stages; although the economic crisis make the EU's surplus quota in the Kyoto stage much greater than that in the trial stage, the policy that the free quota is reduced and the unused carbon quota is allowed to be reserved in the next term restrains the impact of negative information on the EU carbon quota market, and the investor's risk preference type changes from the risk-loving into the risk-neutral.

关 键 词：碳减排政策 碳配额 杠杆效应 风险偏好 

分 类 号：F831.5[经济管理—金融学] F224