Influencing Factors and Prediction of Carbon Trading Market Prices in China via Elliptical Factor Analysis  

作　　者：YAN Linlin CHEN Xiaolan YANG Yi HE Yong 

机构地区：[1]School of Statistics and Mathematics,Shandong University of Finance and Economics,Jinan 250014,China [2]Shandong Technology Innovation Center of Social Governance Intelligence,School of Statistics and Mathematics,Shandong University of Finance and Economics,Jinan 250014,China [3]Institute for Financial Studies,Shandong University,Jinan 250014,China

出　　处：《Journal of Systems Science & Complexity》2024年第6期2680-2696,共17页系统科学与复杂性学报（英文版）

基　　金：supported by the National Social Science Fund of China under Grant No.21BTJ072。

摘　　要：In this paper,the authors take Hubei carbon trading market prices as a sample,and select 27 variables from five aspects:International carbon market prices,energy prices,the macroeconomic situation,exchange rate factors and climate environment.The authors construct the elliptical approximate factor model and use a robust two step method based on multivariate Kendall's Tau matrix to extract common factors,identify the influencing factors of carbon prices,make out-of-sample forecasting of carbon prices,and compare with the prediction based on the historical mean of carbon trading market prices.The results show that the prediction of carbon trading market prices using elliptical approximate factor model is more accurate than the prediction based on the historical mean of carbon trading market prices.Among them,fossil energy prices,international carbon prices and climate environment are important influencing factors of carbon trading prices.

关 键 词：Carbon trading market prices elliptical approximate factor model price influencing factors trading market prices prediction 

分 类 号：X196[环境科学与工程—环境科学] F832.5[经济管理—金融学] F224