欧盟碳价波动的结构突变特性检验  

Test of Structural Breaks on EU ETS Carbon Price Fluctuations

作　　者：吴振信[1] 万埠磊[1] 王书平[1] 胡爱梅[1] 

机构地区：[1]北方工业大学经济管理学院,北京100144

出　　处：《数理统计与管理》2015年第6期969-977,共9页Journal of Applied Statistics and Management

基　　金：北京市教委学科建设专项基金(PXM2013_014212_000005)

摘　　要：选取EU ETS第二阶段碳排放权配额EUA和核证减排量CER的现货和期货价格,运用递归OLS残差检验和CUSUM平方检验考察了欧盟碳价的动态变化路径,发现碳价序列具有明显的结构突变特征;进一步利用Bai-Perron方法检验了碳价发生结构突变的次数和时点,发现碳价在样本期内发生了两次结构突变,美国"次贷危机"、欧债危机和碳排放权配额过量是导致碳价发生结构突变的最主要原因。研究结果对我国构建碳金融体系、相关企业参与碳金融交易,以及相关部门监管碳交易市场,具有重要的启示作用。Spot and futures price of EU ETS EUA and CER were selected in phase II, Recursive Least Regression and CUSUM Square Test were used to investigate the dynamic fluctuating path of carbon price. The results show that Carbon price have obvious characteristics of structurM breaks. Furthermore, Bai-Perron test was used to detect the number and time of structural breaks, it was found that carbon price have two significant structure breaks in the sample, which were mainly caused by US ＂subprime crisis＂, EU ＂debt crisis＂ and excessive release of carbon emissions quotas. The research has enlightenment function for China to establish a carbon finance system, related enterpriss to participate in transaction, and regulatory authorities to supervise market.

关 键 词：碳排放权价格 结构突变 参数稳定性检验 Bai-Perron检验 

分 类 号：F830[经济管理—金融学] O212[理学—概率论与数理统计]