波罗的海运价指数与碳价格相关性研究  

Research on the correlation between Baltic Dry Index and carbon price

作　　者：艾琳 吕靖烨[1] Matalinah Mwamlima Ai Lin;LYU Jingye;Matalinah Mwamlima(School of Management,Xi'an University of Science and Technology,Xi'an 710054,China)

机构地区：[1]西安科技大学管理学院,陕西西安710054

出　　处：《煤炭经济研究》2022年第2期11-16,共6页Coal Economic Research

基　　金：陕西省科技计划项目(2020KRM126)。

摘　　要：随着我国碳市场的不断深入发展,我国与国际市场上的经济接轨和交流,国外的经济发展趋势也对我国碳市场产生一定影响。选用波罗的海运价指数与我国碳排放权交易市场的价格指数,构建VAR模型对二者之间的作用机理进行分析。结果表明:格兰杰因果检验结果表示,二者之间存在碳排放权交易价格对BDI指数的单向的格兰杰因果关系;脉冲响应的结果表示,波罗的海运价指数BDI与我国碳市场的价格指数之间存在互相作用关系,前者对后者的冲击更强;从方差分解的结果来看,波罗的海运价指数BDI对碳排放权交易市场价格的作用更强。基于此研究结果,为我国碳市场在国际经济形势的变化下如何应对提出了针对性和科学性的建议。With the continuous in-depth development of China’s carbon market,as well as the economic integration and exchanges between China and the international market,foreign economic development trends also have a certain impact on China’s carbon market.This paper selects the Baltic Dry Index and the price index of China’s carbon emission trading market,and constructs a VAR model to analyze the mechanism of action between them.The results show that:the Granger causality test results show that there is a one-way Granger causality between the carbon emission trading price and the BDI;the impulse response results show that BDI and China’s carbon market have a unidirectional Granger causality.There is an interaction relationship between the price indices,the former has a stronger impact on the latter;from the results of variance decomposition,BDI has a stronger effect on the market price of carbon emissions trading.Based on the results of this study,targeted and scientific suggestions are put forward for how China’s carbon market should respond to changes in the international economic situation.

关 键 词：波罗的海运价指数 碳价格 格兰杰因果检验 脉冲响应 方差分解 

分 类 号：F416.21[经济管理—产业经济]