基于ARIMA模型的欧盟碳金融市场期货价格预测及启示
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摘要
欧盟碳金融市场作为全球最大、最成熟的碳排放市场,碳金融市场期货价格波动已经显现出一定规律。我国碳金融期货市场还处于筹划阶段,探究欧盟碳期货动态变化规律,对其价格进行预测,不仅可以丰富碳金融市场的相关理论,而且为我国碳期货市场的发展、防止碳价格过度波动、稳定碳价格提供借鉴。ARIMA模型已广泛应用于金融领域,能较好把握时间序列动态规律,运用ARIMA模型,选择2013年1月至2018年7月EUA期货结算价作为分析数据,对欧盟碳期货交易价格作为期3个月的预测。预测结果显示,在未来3个月碳期货价格依然会有较大幅度的波动。总结欧盟碳期货历史价格剧烈波动的原因,提出我国建设碳期货市场应从设置碳价波动区间、允许碳配额跨期存储、加大财政补贴力度3方面着手完善碳期货市场价格稳定机制。
As the world's largest and most mature carbon emission market,the EU carbon financial market has shown a certain pattern of fluctuations in futures prices in the carbon financial market. China's carbon financial futures market is still in the planning stage. Exploring the dynamic change law of EU's carbon futures and forecasting its price can not only enrich the relevant theories of the carbon financial market,but also provide reference for the development of China's carbon futures market,prevent the excessive fluctuation of carbon price and stabilize the carbon price. ARIMA model has been widely used in the financial field,which can better grasp the dynamic law of time series. Using ARIMA model,choosing the settlement price of EUA futures from January 2013 to July 2018 as the analysis data,the trading price of EU carbon futures was predicted for three months. The forecast results showed that carbon futures prices will still fluctuate significantly in the next three months. Summarizing the reasons for the sharp fluctuations in the historical price of carbon futures in the EU,it is proposed that China's construction of carbon futures market should start from the three aspects of setting carbon price fluctuation range,allowing carbon allowance to be stored in an interim period,and increasing financial subsidies to improve the price stability mechanism of carbon futures market.
As the world's largest and most mature carbon emission market,the EU carbon financial market has shown a certain pattern of fluctuations in futures prices in the carbon financial market. China's carbon financial futures market is still in the planning stage. Exploring the dynamic change law of EU's carbon futures and forecasting its price can not only enrich the relevant theories of the carbon financial market,but also provide reference for the development of China's carbon futures market,prevent the excessive fluctuation of carbon price and stabilize the carbon price. ARIMA model has been widely used in the financial field,which can better grasp the dynamic law of time series. Using ARIMA model,choosing the settlement price of EUA futures from January 2013 to July 2018 as the analysis data,the trading price of EU carbon futures was predicted for three months. The forecast results showed that carbon futures prices will still fluctuate significantly in the next three months. Summarizing the reasons for the sharp fluctuations in the historical price of carbon futures in the EU,it is proposed that China's construction of carbon futures market should start from the three aspects of setting carbon price fluctuation range,allowing carbon allowance to be stored in an interim period,and increasing financial subsidies to improve the price stability mechanism of carbon futures market.
引文
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[3]Brown D P,Eckert A,Eckert H.Carbon pricing with an output subsidy under imperfect competition:The case of Alberta's restructured electricity market[J].Resource and Energy Economics,2018:102-123.
[4]Jean-Charles Hourcade,Antonin Pottier,Etienne Espagne.Social value of mitigation activities and forms of carbon pricing[J].International Economics,2018:8-18.
[5]朱帮助，王平，魏一鸣.基于EMD的碳金融市场价格影响因素多尺度分析[J].经济学动态，2012(6):92-97.
[6]刘纪显，张宗益，张印.碳期货与能源股价的关系及对我国的政策启示--以欧盟为例[J].经济学家，2013(4):43-55.
[7]齐绍洲，于翔，谭秀杰.欧盟碳期货风险量化--基于GED-GARCH模型和Va R模型[J].技术经济，2016,35(7):46-51.
[8]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，2016,26(7):85-92.
[9]张婕，孙立红，邢贞成.中国碳排放交易试点市场的价格波动性研究[J].价格理论与实践，2018(1):57-60.
[10]吕靖烨，张超.低碳背景下我国碳排放权市场价格的影响因素分析[J].煤炭经济研究，2019,39(5):31-37.
[11]吕靖烨，曹铭，吴旷，等.湖北碳排放权市场有效性的实证分析[J].系统工程，2018,36(11):23-30.
[12]张跃军，孙亚方，郭晓铛.欧洲碳期货市场动态套利策略建模及实证研究[J].北京理工大学学报（社会科学版），2017,19(1):1-8.
[13]吕靖烨，常炎，张金锁.我国煤炭进口是否会引起国际煤炭价格变化[J].价格月刊，2017(10):8-14.
[14]卜星，安海忠，王利军，等.碳交易市场期货间价格波动关系与趋势预测[J].资源与产业，2016,18(2):111-120.
[15]吕靖烨，杨华.政府对碳市场监管的三方演化博弈研究--基于罗尔斯主义社会福利函数视角[J].煤炭经济研究，2019,39(3):77-82.
[16]莫建雷，朱磊，范英.碳金融市场价格稳定机制探索及对中国碳金融市场建设的建议[J].气候变化研究进展，2013,9(5):368-375.