欧盟碳配额市场与电力、能源市场联动效应分析  

An Analysis of the Interaction among European Union Allowance,Electricity and Energy Futures

作　　者：张泽明[1] 严夏[1] 

机构地区：[1]西南科技大学计划财务处,四川绵阳621010

出　　处：《商业研究》2014年第12期74-80,共7页Commercial Research

摘　　要：本文使用向量误差修正模型研究了欧盟碳配额期货市场与电力、能源期货市场之间的联动效应,发现三者之间既存在长期协整关系,又存在短期引导关系;电力期货价格对碳配额期货价格、能源期货价格的冲击有正向反应,碳配额期货价格对能源期货价格的影响明显大于能源期货对碳配额期货价格的影响,碳配额期货价格对高峰电力期货价格的影响明显大于其对低谷电力期货价格的影响。This paper uses Vector Error Correction Model （VECM） to investigate the interaction among the EUA, elec- tricity and energy futures. It is found that there exist long - run equilibrium relationship and short - run guide relationship among them; the electricity futures price has a positive short -run response to EUA and energy futures price shock, EUA futures price shocks have a larger impact on energy futures prices, but not vice versa, and the influence of EUA futures price shock is lar^er on peak load electricity futures price than onbase load electricity futures price.

关 键 词：欧盟碳配额 向量误差修正模型 脉冲响应 期货市场 价格冲击 

分 类 号：F205[经济管理—国民经济]