欧盟碳排放交易体系运行效率研究——基于动态套期保值及价格发现的证据  

Study on the Efficiency of EU Emissions Trading System:Evidence from Dynamic Hedging and Price Discovery

作　　者：周开国[1] 关子桓 Zhou Kaiguo;Guan Zihuan

机构地区：[1]中山大学岭南学院

出　　处：《复印报刊资料（生态环境与保护）》2023年第7期49-59,共11页ECOLOGICAL ENVIRONMENT AND PROTECTION

基　　金：国家社会科学基金重大项目“外部突发事件引发金融风险跨市场传染的干预对策研究”(20&ZD103);中国证监会省部级课题项目“资本市场支持碳达峰、碳中和的挑战和对策”资助。

摘　　要：中国碳市场规模已居全球首位且发展潜力巨大,中国政府明确指出,推进“双碳”工作,“要充分发挥市场机制作用,完善碳定价机制”。欧盟碳排放交易体系是全球发展最为成熟的碳市场,其发展经验可为我国提供重要参考。本文采用欧盟碳市场2013-2021年日度数据,结合其特殊的三市场结构特征,利用VECM-DCC-GARCH模型测度了欧盟碳市场套期保值和价格发现功能及其动态变化特征。结果表明:碳期货有效发挥了套期保值及价格发现功能,提升了碳市场定价效率,有助于完善碳定价机制。进一步分析发现:碳期货的套期保值功能发挥有赖于期货价格对实体企业交易需求信息的充分反映,全国碳市场需加快扩容;价格发现功能的发挥有赖于丰富多元的市场主体结构与蓬勃的市场活力,发展碳期货能够有效吸引各类主体参与市场、提升市场流动性。基于欧盟碳市场期货功能发挥情况及其原因,并充分对比中欧情况,本文提出针对我国碳市场未来发展的相关政策建议。China's Emissions Trading System(ETS)has become the largest carbon market and has great potential for development.It becomes essential for China ETS's further development to study how to improve the carbon pricing mechanism and exploit the role of market mechanism.As the EU-ETS is considered functioning efficiently,the proven development experience can be an essential guide for China's ETS development.This paper studies the market efficiency of the EU-ETS and its requirements.With the EU-ETS daily trading data from 2013 to 2021,this paper adopts the VECM-DCC-GARCH model to examine the dynamic hedging efficiency and price discovery efficiency,considering the special three-market structure.Furthermore,from the perspectives of market participant structure and liquidity,this paper examines the requirements of efficient hedging and price discovering functions.The results show that carbon emissions futures effectively play the role of hedging and price discovery,improving the market efficiency and the carbon pricing mechanism.Furthermore,the hedging function of emissions futures depends on its reflection on the trading demand of enterprises in the real economy,which manifests that the Chinese carbon market needs expansion quickly.Meanwhile,the price discovery function of emissions futures relies on a rich and diversified market participants structure and vigorous market vitality.Emissions futures can attract various market participants and thus enhance market liquidity.This paper provides new empirical evidence for comprehensively evaluating the market efficiency of EU-ETS.It also provides a new research perspective for clarifying the requirements of functions efficiently exploited in the carbon market.The comparison between the ETS in China and in EU provides a valuable reference for the realistic development path of China's ETS.This also provides a decision-making basis for relative regulatory authorities to improve the carbon pricing mechanism and to fully exploit the hedging and price discovery functions of the car

关 键 词：碳定价机制 欧盟碳排放交易体系 碳期货 套期保值 价格发现 

分 类 号：F831.5[经济管理—金融学] X196[环境科学与工程—环境科学]