国际碳排市场动态效应研究：基于ECX CER市场  

Dynamic Effects in International Carbon Emission Markets: Evidence from ECX CER

作　　者：吴恒煜[1,2] 胡根华[3] 秦嗣毅[3] 刘纪显[4] 

机构地区：[1]华南理工大学工商管理学院,广东广州510640 [2]西南财经大学经济信息工程学院,四川成都611130 [3]广东商学院经济学院,广东广州510320 [4]华南师范大学经济与管理学院,广东广州510631

出　　处：《山西财经大学学报》2011年第9期18-24,共7页Journal of Shanxi University of Finance and Economics

基　　金：国家自然科学基金资助项目(70861003);国家社会科学基金资助项目(11BJY143);教育部人文社会科学研究规划基金项目(10YJA790114、10YJA790114);广州市社会科学基金项目(11Y16)

摘　　要：应用VAR模型研究了ECX CER现货与期货价格的关系,并利用脉冲响应分析了价格冲击效应。研究结果表明,CER现货价格对于其自身及各到期日期货价格的一个标准差冲击显示出很高的正效应,而CER各到期日期货价格对于其自身及CER现货价格冲击显示出较低的正效应,甚至出现负效应。进一步地,应用t-GARCH、Gaussian-GARCHt、-GJR和Gaussian-GJR来拟合CER期货市场与现货市场收益率序列的结果显示t,-GARCH(1,1)是最佳拟合模型。应用Markov机制转换模型进行的研究表明,CER现货市场和期货市场均存在较大的波动特征。This paper firstly investigates the relations between ECX CER spot market and futures markets applying VAR model, and then it further analyzes the effect of price shock using Impulse Responses Analysis. It is found that responses of CER spot price to itself and futures prices of Dec09 CER, Dec10 CER, Dec11 CER and Dec12 CER show high positive effects with Cholesky one stan- dard deviation innovations while responses of CER futures prices to themselves and CER spot price exhibit low positive effects, even negative effects. Besides, it respectively fits features of returns series in the CER futures markets and spot market using t-GARCH model, Gaussian-GARCH model, t-GJR model and Gaussian-GJR model. It shows that t-GARCH （1, 1） model is the optimalizing model to fit the returns series. Meanwhile, the authors suggest the use of Markov regime-switching model for ECX CER stochastic modeling, indicating that both CER spot market and futures markets exhibit high stochastic behavior in the returns.

关 键 词：CER VAR 脉冲响应分析 GARCH模型 Markov机制转换 

分 类 号：F830.9[经济管理—金融学]