CER期货市场价格发现功能的实证研究
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摘要
碳排放核证减排量(CER)市场是发达国家和发展中国家共同参与的全球碳交易市场,各国根据CER现期货交易来履行《京都议定书》的减排承诺。本文通过建立VEC模型分析CER的期货市场价格发现功能,利用脉冲响应分析了期货价格的冲击效应,并采用方差分解分析了CER期货价格对现货价格的贡献率。结果发现,清洁发现机制(CDM)下,CER期货价格对现货价格具有显著的引导和信息传递作用,期货价格与现货价格之间短期内具有波动差异,但存在长期均衡关系。此外,根据我国碳市场实际发展情况,建议规范国内碳排放交易市场制度,鼓励发展碳金融交易。
The Certificed Emission Reduction(CER) market is a global carbon trading market in which developed countries and developing countries participate. Countries implement the emission reduction commitments of the Kyoto Protocol based on spot and futures trading.The paper establiahed the VEC model to analyze the futures market price discovery function of Certified Emission Reduction(CER), and used the impulse response to analyze the impact effect of futures price,also employed the variance decomposition to analyze the contribution rate of CER futures price to spot price. The results showed that under the Clean Discovery Mechanism(CDM), CER futures prices have significant guidance and information transfer effects on spot prices,and there was not a short-term fluctuation difference but a long-term equilibrium relationship between futures prices and spot prices. In addition, based on the actual development of China's carbon market, this paper proposed to standardize the domestic carbon emissions trading market system and encourage the development of carbon financial transactions.
The Certificed Emission Reduction(CER) market is a global carbon trading market in which developed countries and developing countries participate. Countries implement the emission reduction commitments of the Kyoto Protocol based on spot and futures trading.The paper establiahed the VEC model to analyze the futures market price discovery function of Certified Emission Reduction(CER), and used the impulse response to analyze the impact effect of futures price,also employed the variance decomposition to analyze the contribution rate of CER futures price to spot price. The results showed that under the Clean Discovery Mechanism(CDM), CER futures prices have significant guidance and information transfer effects on spot prices,and there was not a short-term fluctuation difference but a long-term equilibrium relationship between futures prices and spot prices. In addition, based on the actual development of China's carbon market, this paper proposed to standardize the domestic carbon emissions trading market system and encourage the development of carbon financial transactions.
引文
[1]黄明皓、李永宁、肖翔.国际碳排放交易市场的有效性研究——基于CER期货市场的价格发现和联动效应分析[J].财贸经济,2010(11).
[2]王宇航.国际碳金融市场发现功能的实证分析[J].上海金融,2011(7).
[3]吴恒煜、胡根华、秦嗣毅、刘纪显.国际碳排市场动态效应研究:基于ECX CER市场[J].山西财经大学学报,2011(9).
[4]陈伟、宋维明.国际主要碳交易市场价格形成机制及其借鉴[J].价格理论与实践,2014(1).
[5]王丹、程玲.欧盟碳配额现货与期货价格关系及对中国的借鉴[J].中国人口·资源与环境,2016(7).
[6]张婕、孙立红、邢贞成.中国碳排放交易市场价格波动性的研究———基于深圳、北京、上海等6个城市试点碳排放市场交易价格的数据分析[J].价格理论与实践,2018(1).
[7]邹绍辉、张甜.国际碳期货价格与国内碳价动态关系[J].山东大学学报(理学版),2018(5).
(1)CER是核证减排量的简称,属于清洁发展机制(CDM)中的特定术语,一单位CER等同于一公吨的二氧化碳当量。
[2]王宇航.国际碳金融市场发现功能的实证分析[J].上海金融,2011(7).
[3]吴恒煜、胡根华、秦嗣毅、刘纪显.国际碳排市场动态效应研究:基于ECX CER市场[J].山西财经大学学报,2011(9).
[4]陈伟、宋维明.国际主要碳交易市场价格形成机制及其借鉴[J].价格理论与实践,2014(1).
[5]王丹、程玲.欧盟碳配额现货与期货价格关系及对中国的借鉴[J].中国人口·资源与环境,2016(7).
[6]张婕、孙立红、邢贞成.中国碳排放交易市场价格波动性的研究———基于深圳、北京、上海等6个城市试点碳排放市场交易价格的数据分析[J].价格理论与实践,2018(1).
[7]邹绍辉、张甜.国际碳期货价格与国内碳价动态关系[J].山东大学学报(理学版),2018(5).
(1)CER是核证减排量的简称,属于清洁发展机制(CDM)中的特定术语,一单位CER等同于一公吨的二氧化碳当量。