中国碳排放权交易价格的形成及其波动特征——基于深圳碳排放权交易所的数据  

The Formation and Volitility Features of China's Carbon Emission Trading Price——Based on the Data of Shenzhen Carbon Emission Exchange

作　　者：周天芸[1] 许锐翔 

机构地区：[1]中山大学国际商学院,广东广州510275

出　　处：《金融发展研究》2016年第1期16-25,共10页Journal Of Financial Development Research

摘　　要：《京都议定书》的生效促使各国建立碳排放权交易市场,本文基于国内外已有的实践和研究,运用深圳碳排放权交易所的碳排放权价格数据,分析能源价格、宏观经济、气候和国外碳排放权价格对国内碳排放权交易价格的影响。结果表明,国内碳排放权的交易价格受煤炭价格的影响最为显著,空气质量指数也是重要影响因素之一,工业指数和EU ETS市场CER期货的价格也存在着正向引导的作用,但系数较小;误差修正模型结果表明,国内碳排放权交易价格存在"反向修正"机制,但其修正速度较慢。此外,本文通过ARMAGARCH模型对国内碳排放权价格收益率的波动性特征进行分析,发现收益率存在明显自相关过程和条件异方差效应,并且与其二阶滞后项的联系最为密切。The entry into force of the Kyoto Protocol has prompted the establishment of global carbon emission trading markets. Based on the practice and existing research both at home and abroad, this paper uses data of the price of carbon emissions in Shenzhen Carbon Exchange, and analyzes the factors influencing the domestic carbon emission price, such as energy price, macro-economy, climate and foreign carbon emission price. Research results show that the coal price influences the domestic carbon emission price most significantly in the long run, and the air quality index is also one of the important factors affecting the domestic carbon emission price. Industrial index and EU ETS CER fu- tures price also show a positive impact but the coefficient is small. Error correction model results indicate domestic car- bon emissions price has a ＂reverse correction＂ mechanism, but the amendment is slow. In addition, we estimate the volatility characteristics of domestic carbon emissions yields by using the ARMA-GARCH model and find that yields show an obvious AR process and conditional heteroskedasticity effect, and both equation indicates there is a close rela- tionship with their second-order lags respectively.

关 键 词：碳排放权 交易价格 收益率波动 

分 类 号：F830[经济管理—金融学]