碳排放权交易模式比较研究与中国碳排放权市场设计
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摘要
温室气体大量排放引发的全球气候变暖,已经成为人类社会可持续发展面临的紧迫问题。1992年,在政府间气候变化专门委员会主持的“联合国环境与发展会议”上,155个国家共同签署了《联合国气候变化框架公约》,成为了全球气候变化问题开展国际合作的基本框架。为了落实该公约,1997年12月,《联合国气候变化框架公约》缔约方第三次会议在日本京都召开,通过了针对发达国家限制温室气体排放、减缓全球变暖的《京都议定书》,明确把市场机制作为解决以二氧化碳为代表的温室气体减排问题的新路径,为全球碳交易市场打开了大门。作为强制性减排模式和自愿性减排模式的典型,欧洲碳排放交易体系(EU ETS)和芝加哥气候交易所(CCX)分别于2005年和2003年开始了碳排放权交易的探索。作为《联合国气候变化框架公约》最早缔约国之一和《京都议定书》的坚定支持者,2009年11月,中国正式对外宣布控制温室气体排放的行动目标,决定到2020年单位国内生产总值二氧化碳排放比2005年下降40%-45%。2011年我国公布的“十二五”规划纲要明确提出建立碳排放权交易市场。
为了研究和设计中国碳排放权交易市场,本文借鉴国际经验和实践开展研究。首先,总结梳理了国际碳交易市场建立基础和条件。其次,分别以欧盟碳排放权交易体系和芝加哥气候交易所为代表分析了强制性和自愿性减排两类交易模式的适用条件、交易对象、配额分配、交易方式、时间安排、协调与监管等内容。再次,利用GARCH、 EGARCH等GARCH族模型研究两类模式下碳交易价格形成机制,归纳特征,比较异同。接着,利用多元线性回归和方差方程等技术,检验两种模式下价格影响因素,比较异同,解释价格形成机制差异的原因。最后,根据国际碳交易市场设立基础与条件、交易模式、价格形成机制、价格影响因素等研究结论,设计了中国碳排放权交易市场。
《联合国气候变化框架公约》明确了气候谈判最终目标及基本原则,开始了国际气候谈判与碳减排合作的历程。在该公约指引下,签署了《京都议定书》和“巴厘岛路线图”等重要减排法律文件,形成了碳排放权交易机制。但是,各国在应对限制温室气体排放的谈判过程中立场不同,主要存在发达国家与发展中国家之间、发达国家特别是欧美之间和发展中国家内部三类不同利益诉求,导致了减排目标设定与配额分配、资金技术援助方式与数额等差异,形成了各类模式。
在以上背景下,围绕中国碳排放权交易市场设计,本文得到了以下结论：
1、国际上已经形成了以欧盟为代表的强制性交易体系和以美国芝加哥气候交易所为代表的自愿性交易体系两类主要交易模式。EUETS是强制性减排模式典型。该模式是在总量与控制原则下,以法律和制度健全、协调监管机制完善为前提采取的碳交易模式。它分阶段开展,市场范围和减排内容渐进式扩大,从重点行业逐步涵盖所有领域,配额分配免费发放与拍卖相结合、逐步提高拍卖比例,具有管制时间上的阶段性、综合管理上的分权性、交易方式上的综合性、调控手段上的市场化等特征。CCX是自愿性减排模式的代表。该模式是在自愿原则下,广泛吸纳会员并签订具有法律约束力契约进行强制减排的模式。它分阶段开展,每个阶段设定不同的基准线和减排目标,由交易所负责交易产品开发、平台建设和市场监管,具有自愿性和自律性、以排放总量控制基准线为基础的减排权贸易、市场价格的公开透明性和交易形式的便捷性、核证核查的独立性和公正性等特征。两者共同点包括：(1)建立了明确清晰法律依据。(2)建设信息化交易平台,交易过程便捷。(3)经过长期筹备与试运作,为正式交易积累了丰富经验。差别主要体现在市场类型、交易对象、配额分配和产品种类等。
2、EU ETS和CCX不同交易模式下形成不同碳排放权交易价格机制。在EU ETS下,市场非对称效应非常明显,EGARCH(1,1)-t模型均适合EUA两阶段价格估计与预测,但是价格形成机制差别较大。减排第一阶段EUA价格及其收益的波动性明显大于第二阶段。在CCX下,减排第一阶段交易价格对正面和负面消息的反应程度不同,适用EGARCH(1,1)-t模型；第二阶段合约价格对正面和负面消息反应程度较一致,适用GARCH(1,1)-GED模型。交易价格形成机制也存在不同。同时,第一阶段价格及其收益的波动性明显大于第二阶段。两类模式相同点包括：第一,第一阶段波动性均较大,且都大于本模式第二阶段。第二,EGARCH(1,1)-t模型均适合两类交易模式第一阶段价格估计与预测,这说明在第一阶段两类模式市场非对称效应都较强。差异体现在两方面：首先,价格形成机制不同。EGARCH(1,1)-t模型适用强制性减排不同阶段的价格估计与预测,但是仅适用自愿性减排第一阶段,说明强制性减排下市场非对称效应大于自愿性减排。其次,两个交易模式下价格波动性差异很大。各阶段价格波动性从大到小依次是强制性减排第一阶段、自愿性减排第一阶段、自愿性减排第二阶段和强制性减排第二阶段。总的来说,自愿性减排价格波动性大于强制性减排价格。
3、EU ETS和CCX不同交易模式下碳排放权交易价格影响因素存在差异。在EU ETS下,受政策和制度影响的配额供给是交易价格最重要影响因素,但是随着政策与交易制度的完善,影响程度逐渐变小。EUA价格也受原油、天然气和煤炭等能源价格影响。煤炭价格第一阶段有负影响,二阶段影响不明显；原油和天然气价格有正影响,尤其是第一阶段的子阶段一非常明显。煤炭价格对EUA价格影响大于原油和天然气价格。风速、温度和降水等天气因素对EUA价格的影响不明显。在CCX下,第一阶段交易价格影响因素主要是受政策和制度因素影响的配额供给,且随时间推移有增强趋势,但是远小于EU ETS第一阶段。原油、天然气和煤炭等能源价格因素与风速、温度和降水等天气因素的实证结果不显著。第二阶段能源价格是最大影响因素,三种主要能源价格影响度由大至小依次是天然气、原油、煤炭,且风速、温度和降水等天气因素影响非常显著。两模式既有相同也存在差异。受政策和制度因素影响的配额供给一直是影响碳排放权交易价格非常重要影响因素。差异表现为3个方面：首先,受政策和制度因素影响的配额供给因素影响程度不同。在EU ETS下,无论第一阶段还是第二阶段,受政策和制度因素影响的配额供给因素一直是最重要影响因素。在CCX下,第一阶段受政策和制度因素影响的配额供给因素是唯一显著的影响因素,且影响力越来越大；第二阶段该因素影响小于能源价格因素。其次,能源价格因素影响程度不同。在EU ETS下,能源价格因素影响相对较小,且其中影响最大的是煤炭价格。而CCX下,能源价格是最大影响因素,且其中最重要的影响因素是天然气价格。第三,天气因素影响不同。在EU ETS下天气因素的影响不显著,但是CCX下三个天气因素在第二阶段均显著。
4、总结和借鉴欧洲EU ETS和美国CCX理论和实证研究设计了中国碳排放权交易市场。中国碳排放权交易市场设计分4个方面。(1)市场建设基础与条件。全国必须就开展碳交易,实行总量与控制原则达成共识。同时,在我国开展碳交易过程中将遇到发达地区与欠发达地区之间、发达地区之间、欠发达地区内部等若干不同利益诉求。不同利益诉求将引发减排目标设定、配额分配、资金技术援助方式与数量等若干矛盾。(2)交易模式设计。中国建立碳排放权交易市场不可能一蹴而就。目前,我国既没有达成开展碳排放权交易的共识,也缺乏健全的法律制度体系和完善的协调监管机制,不适合一开始就建设强制性碳交易市场,起步阶段应该是发展自愿性交易市场。根据国际经验,通过开展自愿性交易积累经验,条件成熟后再逐步向强制性减排市场过度。所以,我国碳交易市场建设是分阶段、循序渐进的过程。交易模式设计分两个阶段,第一阶段是自愿减排,第二阶段是强制减排。(3)价格形成机制。将经历4个步骤：第1步是自愿性减排第一阶段,碳排放权交易市场非对称效应明显,且价格波动性较大。第2步是自愿性减排第二阶段,市场基本不存在非对称效应,价格波动性相对前一阶段变小。第3步是强制性减排第一阶段,市场非对称效应再度显著,价格波动性达到最大。第4步是强制性减排第二阶段,也是碳排放权交易市场的最终状态。市场非对称效应很显著,价格波动性趋小,是最小的阶段。(4)价格影响因素。我国碳排放权市场交易价格将受政策和制度因素影响的配额供给、经济增长、能源价格、天气、减排成本等因素影响。其中,在自愿性减排模式下,两个阶段最重要影响因素分别是受政策和制度因素影响的配额供给与能源价格,风速、温度和降水等天气因素也存在相对较小的影响。在强制性减排模式下,无论哪个阶段,受政策和制度影响的配额供给是交易价格最重要影响因素,原油、天然气和煤炭等能源价格也将影响配额价格,天气因素影响不明显。分析各类影响因素发现,受政策和制度因素影响的配额供给是主观可控因素,在我国建立碳交易市场过程中,必须建立良好的政策体系和交易制度保证配额科学供给,引导形成合理的碳交易价格。在我国,能源价格也可进行一定调控。中国碳排放权交易平台业务开展,应划分阶段,有步骤、有重点地开展。第一阶段,2012-2015年,开展业务包括CDM业务、开展能效指标和其它环境权益交易、制定规则和进行宣讲培训。第二阶段,2015-2020年,开展期货、期权交易,开展自愿减排。第三阶段,2020年以后,适时开展基于配额的强制性减排业务。
The issue of global warming caused by carbon emission has become an urgent problem for sustainable development of human beings.155countries signed United Nations Framework Convention on Climate Change (UNFCCC) on United Nations Environment and Development Conference,1992hosted by Intergovernmental Panel on Climate Change (IPCC). The cop3of UNFCCC was held on Kyoto, Japan on December,1997and passed The Kyoto Protocol which was to constraint greenhouse gases of developed countries and global warming in order to fulfill the UNFCCC. The Kyoto Protocol definites market mechanism as a new way to solve the issue of greenhouse gases and openes the door for global carbon emission trading. European Union Emission Trading Scheme (EU ETS), the typical case of mandatory emission, and Chicago Climate Exchange (CCX), the typical case of voluntary emission, were set up on2005and2003respectively to explore the way on how to carry out carbon emission trading. China announced the target of controlling greenhouse gases formally, which was to cut down40%to45%of CO2per unit of GDP with comparison on2005until2020on November,2009, as one of early contracting parties of UNFCCC and a committed supporter of The Kyoto Protocol. The12th national five-year plan outline, released in2011, declaimed establishment of carbon emission market.
The paper learns from international experiences and practices and exerts related research to design Chinese carbon emission market. First, it summarizes setting basis and condition on international carbon emission market. Second, exert research on EU ETS and CCX as representatives of mandatory emission and voluntary emission model about suitable condition, trading parties, quota distribution, trading way, time schedule and coordination and surveillance. Third, take use of GARCH, EGARCH, GARCH cluster models to study carbon trading price mechanism and summarize and compare characteristics of them. Then make use of multiple linear regression and variance equitation to test price influence factors under tow models and explain the differences of price mechanism between them. Finally, design Chinese carbon emission market on the basis of conclusions of international carbon trading market about setting basis and condition, trading model, price mechanism and price influence factor.
UNFCCC clarifies final goal and basic principles for climate negotiation and starts the road of international climate change negotiation and cooperation on carbon emission reduction. Several law documents were signed, such as The Kyoto Protocol and Bali Road Map and carbon trading system had formed under the guidance of UNFCCC. However, there were divergent standpoints for all countries in the negotiation of controlling carbon emission, which included three aspects, contradiction among developed countries and developing countries, contradiction among developed countries and contradiction among developing countries. This contradiction leads to diversities about goals, quota distribution, supporting way of money and technology and forms numerical models.
The paper gets following conclusions under the background above regarding Chinese carbon emission market design.
First, two typical case of trading have formed on international market, the mandatory emission represented by EU ETS and voluntary emission represented by CCX. EU ETS is a typical case of mandatory emission. It goes with perfect law and policies system and coordination and surveillance system under the principle of cap and trade. It separates into some stages, broadens market scope gradually, covers from major industries to all step by step and distributes quota with combination of free way and auction, which have characteristics of stage regulation, decentralization of comprehensive management, comprehensive trading ways and market-oriented regulation. CCX is a typical case of voluntary emission. It absorbs members widely under voluntary principle and sign legally-restricted contract to cut emission compulsively. CCX has several phases and sets different baseline and goal for each phase and is in charge of products R&D, platform construction and market surveillance with characteristics of free will and self-discipline, carbon trading under a cap control baseline, transparent market price and convenient trading and independent and fair check. Common points are clear law system, informationizing and convenient platform and abundant experiences with long operation. Divergences are about market types, trader, quota distribution and trading products.
Second, EU ETS and CCX have formed different carbon emission trading price mechanism. In the EU ETS, market dissymmetrical effect is very obvious and EGARCH(1,1)-t is both suitable to price estimation and forecast for two phases, but price mechanism is different. Volatility in phase Ⅰ is obviously larger than phase Ⅱ. In the CCX, contract price reacts distinctly on positive and negative news in phase Ⅰ, which means it fits EGARCH(1,1)-t; Contract price reacts congruously in phase Ⅱ, so it is suitable to GARCH(1,1)-GED. They are different in price mechanism. Meanwhile, volatility of price and its earnings in phase Ⅰ is much larger than phase Ⅱ. Their common points include that there are large in phase Ⅰ which are larger than their phase Ⅱ and EGARCH(1,1)-t is fitful to both models in price estimation and forecast of phase Ⅰ, which means dissymmetrical effect is obvious. The different points list as following. First, diverse price mechanism. EGARCH(1,1)-t is suitable to both phases of mandatory emission but only to phase one of voluntary emission, which discovers that dissymmetrical effect in mandatory market is larger than voluntary market. Second, there are great differences of them in volatility, ranging from mandatory phase Ⅰ, voluntary phase Ⅰ, voluntary phase Ⅱ to mandatory phase Ⅱ. In summary, price volatility of voluntary market is larger than mandatory market.
Third, EU ETS and CCX have different price influence factors. In the EU ETS, quota supply affected by policy and institution is the most important factor, but it has less and less effect on price with trading policy and system consummation. Crude oil, natural gas and coal also affect EUA price. Coal price is negative in phase Ⅰ, but not obvious in phase Ⅱ. Crude oil and natural gas price are positive, especially in sub-phase one of phase Ⅰ. Coal price has greater effect than crude oil and natural gas price. Wind, temperature and precipitation do not affect obviously. In the CCX, influence factors in phase Ⅰ is quota supply affected by policy and system and its effect is strengthened with time. Crude oil, natural gas, coal price, wind, temperature, and precipitation are not obvious. In phase Ⅱ, energy price is the greatest influence factor and wind, temperature and precipitation are all obvious. Quota supply affected by policy and system is always an influence factor of carbon emission trading. There are three aspects about them. First, quota supply has different effect on them. Quota supply is always the most essential factor in the EU ETS no matter phase Ⅰ or Ⅱ. In the CCX quota supply is the only obvious factor and its influence becomes greater and greater; its effect is smaller than energy price in phase Ⅱ. Second, differences in energy price. In the EU ETS, energy price has less effect and the greatest influence factor is coal price. However, in the CCX energy price is the most important factor and natural gas price is the greatest. Third, differences in weather factors. In the EU ETS weather factors are not obvious, but they are all obvious in phase Ⅱ of the CCX.
Fourth, design Chinese carbon emission market based on conclusions from theoretical and empirical research on the EU ETS and CCX. There are four aspects about it. First, market basis and condition. China must get consensus on carbon trading and a principle of cap and trade. Meanwhile, we may suffer diverse benefits including benefits among developed and developing area, benefits among developed areas and benefits among developing areas. They cause conflict on goal setting, quota distribution, money and technology. Second, trading model design. It is a long way to set carbon emission in China. China not only does not get consensus on carbon trading but also is lack of perfect law and coordination system at present, so it starts to set voluntary market rather than mandatory market. After long time trading, it changes to mandatory market gradually. Model design is divided into two phases, voluntary and mandatory phase. Third, price mechanism. There are four steps. The first step is phase I of voluntary market. There are obvious dissymmetrical effect and large price volatility. The second step is phase II of voluntary market. There are no dissymmetrical effect and smaller volatility than the first step. The third step is phase I of mandatory market. Dissymmetrical effect is obvious and price volatility is the greatest. The fourth step is phase II of mandatory market, also final state of carbon emission market. Dissymmetrical effect is very obvious and volatility becomes small, the smallest phase. Fourth, price influence factors. Chinese carbon emission market will be affected by quota supply, economic growth, energy price, weather, cutting costs and so on. In the voluntary model, quota supply affected by policy and system and energy price are important factors. Wind, temperature and precipitation also has relatively smaller effect on it. In the mandatory model quota supply affected by system is the most important model in both phases and energy price will also affect quota price. After analysis on these factors quota supply affected by policy and system is a subjective factor and China can make use of it forming mature price. In addition, we can regulate energy price, too. Operations of China carbon emission platform must exert on several phases. The first phase, from2012to2015, includes CDM, energy efficiency indicators and other environment rights rules formation and training. The second phase, from2015to2020, includes futures, options and voluntary operation. The third phase, later than2020, includes mandatory operation based on quota.
为了研究和设计中国碳排放权交易市场,本文借鉴国际经验和实践开展研究。首先,总结梳理了国际碳交易市场建立基础和条件。其次,分别以欧盟碳排放权交易体系和芝加哥气候交易所为代表分析了强制性和自愿性减排两类交易模式的适用条件、交易对象、配额分配、交易方式、时间安排、协调与监管等内容。再次,利用GARCH、 EGARCH等GARCH族模型研究两类模式下碳交易价格形成机制,归纳特征,比较异同。接着,利用多元线性回归和方差方程等技术,检验两种模式下价格影响因素,比较异同,解释价格形成机制差异的原因。最后,根据国际碳交易市场设立基础与条件、交易模式、价格形成机制、价格影响因素等研究结论,设计了中国碳排放权交易市场。
《联合国气候变化框架公约》明确了气候谈判最终目标及基本原则,开始了国际气候谈判与碳减排合作的历程。在该公约指引下,签署了《京都议定书》和“巴厘岛路线图”等重要减排法律文件,形成了碳排放权交易机制。但是,各国在应对限制温室气体排放的谈判过程中立场不同,主要存在发达国家与发展中国家之间、发达国家特别是欧美之间和发展中国家内部三类不同利益诉求,导致了减排目标设定与配额分配、资金技术援助方式与数额等差异,形成了各类模式。
在以上背景下,围绕中国碳排放权交易市场设计,本文得到了以下结论：
1、国际上已经形成了以欧盟为代表的强制性交易体系和以美国芝加哥气候交易所为代表的自愿性交易体系两类主要交易模式。EUETS是强制性减排模式典型。该模式是在总量与控制原则下,以法律和制度健全、协调监管机制完善为前提采取的碳交易模式。它分阶段开展,市场范围和减排内容渐进式扩大,从重点行业逐步涵盖所有领域,配额分配免费发放与拍卖相结合、逐步提高拍卖比例,具有管制时间上的阶段性、综合管理上的分权性、交易方式上的综合性、调控手段上的市场化等特征。CCX是自愿性减排模式的代表。该模式是在自愿原则下,广泛吸纳会员并签订具有法律约束力契约进行强制减排的模式。它分阶段开展,每个阶段设定不同的基准线和减排目标,由交易所负责交易产品开发、平台建设和市场监管,具有自愿性和自律性、以排放总量控制基准线为基础的减排权贸易、市场价格的公开透明性和交易形式的便捷性、核证核查的独立性和公正性等特征。两者共同点包括：(1)建立了明确清晰法律依据。(2)建设信息化交易平台,交易过程便捷。(3)经过长期筹备与试运作,为正式交易积累了丰富经验。差别主要体现在市场类型、交易对象、配额分配和产品种类等。
2、EU ETS和CCX不同交易模式下形成不同碳排放权交易价格机制。在EU ETS下,市场非对称效应非常明显,EGARCH(1,1)-t模型均适合EUA两阶段价格估计与预测,但是价格形成机制差别较大。减排第一阶段EUA价格及其收益的波动性明显大于第二阶段。在CCX下,减排第一阶段交易价格对正面和负面消息的反应程度不同,适用EGARCH(1,1)-t模型；第二阶段合约价格对正面和负面消息反应程度较一致,适用GARCH(1,1)-GED模型。交易价格形成机制也存在不同。同时,第一阶段价格及其收益的波动性明显大于第二阶段。两类模式相同点包括：第一,第一阶段波动性均较大,且都大于本模式第二阶段。第二,EGARCH(1,1)-t模型均适合两类交易模式第一阶段价格估计与预测,这说明在第一阶段两类模式市场非对称效应都较强。差异体现在两方面：首先,价格形成机制不同。EGARCH(1,1)-t模型适用强制性减排不同阶段的价格估计与预测,但是仅适用自愿性减排第一阶段,说明强制性减排下市场非对称效应大于自愿性减排。其次,两个交易模式下价格波动性差异很大。各阶段价格波动性从大到小依次是强制性减排第一阶段、自愿性减排第一阶段、自愿性减排第二阶段和强制性减排第二阶段。总的来说,自愿性减排价格波动性大于强制性减排价格。
3、EU ETS和CCX不同交易模式下碳排放权交易价格影响因素存在差异。在EU ETS下,受政策和制度影响的配额供给是交易价格最重要影响因素,但是随着政策与交易制度的完善,影响程度逐渐变小。EUA价格也受原油、天然气和煤炭等能源价格影响。煤炭价格第一阶段有负影响,二阶段影响不明显；原油和天然气价格有正影响,尤其是第一阶段的子阶段一非常明显。煤炭价格对EUA价格影响大于原油和天然气价格。风速、温度和降水等天气因素对EUA价格的影响不明显。在CCX下,第一阶段交易价格影响因素主要是受政策和制度因素影响的配额供给,且随时间推移有增强趋势,但是远小于EU ETS第一阶段。原油、天然气和煤炭等能源价格因素与风速、温度和降水等天气因素的实证结果不显著。第二阶段能源价格是最大影响因素,三种主要能源价格影响度由大至小依次是天然气、原油、煤炭,且风速、温度和降水等天气因素影响非常显著。两模式既有相同也存在差异。受政策和制度因素影响的配额供给一直是影响碳排放权交易价格非常重要影响因素。差异表现为3个方面：首先,受政策和制度因素影响的配额供给因素影响程度不同。在EU ETS下,无论第一阶段还是第二阶段,受政策和制度因素影响的配额供给因素一直是最重要影响因素。在CCX下,第一阶段受政策和制度因素影响的配额供给因素是唯一显著的影响因素,且影响力越来越大；第二阶段该因素影响小于能源价格因素。其次,能源价格因素影响程度不同。在EU ETS下,能源价格因素影响相对较小,且其中影响最大的是煤炭价格。而CCX下,能源价格是最大影响因素,且其中最重要的影响因素是天然气价格。第三,天气因素影响不同。在EU ETS下天气因素的影响不显著,但是CCX下三个天气因素在第二阶段均显著。
4、总结和借鉴欧洲EU ETS和美国CCX理论和实证研究设计了中国碳排放权交易市场。中国碳排放权交易市场设计分4个方面。(1)市场建设基础与条件。全国必须就开展碳交易,实行总量与控制原则达成共识。同时,在我国开展碳交易过程中将遇到发达地区与欠发达地区之间、发达地区之间、欠发达地区内部等若干不同利益诉求。不同利益诉求将引发减排目标设定、配额分配、资金技术援助方式与数量等若干矛盾。(2)交易模式设计。中国建立碳排放权交易市场不可能一蹴而就。目前,我国既没有达成开展碳排放权交易的共识,也缺乏健全的法律制度体系和完善的协调监管机制,不适合一开始就建设强制性碳交易市场,起步阶段应该是发展自愿性交易市场。根据国际经验,通过开展自愿性交易积累经验,条件成熟后再逐步向强制性减排市场过度。所以,我国碳交易市场建设是分阶段、循序渐进的过程。交易模式设计分两个阶段,第一阶段是自愿减排,第二阶段是强制减排。(3)价格形成机制。将经历4个步骤：第1步是自愿性减排第一阶段,碳排放权交易市场非对称效应明显,且价格波动性较大。第2步是自愿性减排第二阶段,市场基本不存在非对称效应,价格波动性相对前一阶段变小。第3步是强制性减排第一阶段,市场非对称效应再度显著,价格波动性达到最大。第4步是强制性减排第二阶段,也是碳排放权交易市场的最终状态。市场非对称效应很显著,价格波动性趋小,是最小的阶段。(4)价格影响因素。我国碳排放权市场交易价格将受政策和制度因素影响的配额供给、经济增长、能源价格、天气、减排成本等因素影响。其中,在自愿性减排模式下,两个阶段最重要影响因素分别是受政策和制度因素影响的配额供给与能源价格,风速、温度和降水等天气因素也存在相对较小的影响。在强制性减排模式下,无论哪个阶段,受政策和制度影响的配额供给是交易价格最重要影响因素,原油、天然气和煤炭等能源价格也将影响配额价格,天气因素影响不明显。分析各类影响因素发现,受政策和制度因素影响的配额供给是主观可控因素,在我国建立碳交易市场过程中,必须建立良好的政策体系和交易制度保证配额科学供给,引导形成合理的碳交易价格。在我国,能源价格也可进行一定调控。中国碳排放权交易平台业务开展,应划分阶段,有步骤、有重点地开展。第一阶段,2012-2015年,开展业务包括CDM业务、开展能效指标和其它环境权益交易、制定规则和进行宣讲培训。第二阶段,2015-2020年,开展期货、期权交易,开展自愿减排。第三阶段,2020年以后,适时开展基于配额的强制性减排业务。
The issue of global warming caused by carbon emission has become an urgent problem for sustainable development of human beings.155countries signed United Nations Framework Convention on Climate Change (UNFCCC) on United Nations Environment and Development Conference,1992hosted by Intergovernmental Panel on Climate Change (IPCC). The cop3of UNFCCC was held on Kyoto, Japan on December,1997and passed The Kyoto Protocol which was to constraint greenhouse gases of developed countries and global warming in order to fulfill the UNFCCC. The Kyoto Protocol definites market mechanism as a new way to solve the issue of greenhouse gases and openes the door for global carbon emission trading. European Union Emission Trading Scheme (EU ETS), the typical case of mandatory emission, and Chicago Climate Exchange (CCX), the typical case of voluntary emission, were set up on2005and2003respectively to explore the way on how to carry out carbon emission trading. China announced the target of controlling greenhouse gases formally, which was to cut down40%to45%of CO2per unit of GDP with comparison on2005until2020on November,2009, as one of early contracting parties of UNFCCC and a committed supporter of The Kyoto Protocol. The12th national five-year plan outline, released in2011, declaimed establishment of carbon emission market.
The paper learns from international experiences and practices and exerts related research to design Chinese carbon emission market. First, it summarizes setting basis and condition on international carbon emission market. Second, exert research on EU ETS and CCX as representatives of mandatory emission and voluntary emission model about suitable condition, trading parties, quota distribution, trading way, time schedule and coordination and surveillance. Third, take use of GARCH, EGARCH, GARCH cluster models to study carbon trading price mechanism and summarize and compare characteristics of them. Then make use of multiple linear regression and variance equitation to test price influence factors under tow models and explain the differences of price mechanism between them. Finally, design Chinese carbon emission market on the basis of conclusions of international carbon trading market about setting basis and condition, trading model, price mechanism and price influence factor.
UNFCCC clarifies final goal and basic principles for climate negotiation and starts the road of international climate change negotiation and cooperation on carbon emission reduction. Several law documents were signed, such as The Kyoto Protocol and Bali Road Map and carbon trading system had formed under the guidance of UNFCCC. However, there were divergent standpoints for all countries in the negotiation of controlling carbon emission, which included three aspects, contradiction among developed countries and developing countries, contradiction among developed countries and contradiction among developing countries. This contradiction leads to diversities about goals, quota distribution, supporting way of money and technology and forms numerical models.
The paper gets following conclusions under the background above regarding Chinese carbon emission market design.
First, two typical case of trading have formed on international market, the mandatory emission represented by EU ETS and voluntary emission represented by CCX. EU ETS is a typical case of mandatory emission. It goes with perfect law and policies system and coordination and surveillance system under the principle of cap and trade. It separates into some stages, broadens market scope gradually, covers from major industries to all step by step and distributes quota with combination of free way and auction, which have characteristics of stage regulation, decentralization of comprehensive management, comprehensive trading ways and market-oriented regulation. CCX is a typical case of voluntary emission. It absorbs members widely under voluntary principle and sign legally-restricted contract to cut emission compulsively. CCX has several phases and sets different baseline and goal for each phase and is in charge of products R&D, platform construction and market surveillance with characteristics of free will and self-discipline, carbon trading under a cap control baseline, transparent market price and convenient trading and independent and fair check. Common points are clear law system, informationizing and convenient platform and abundant experiences with long operation. Divergences are about market types, trader, quota distribution and trading products.
Second, EU ETS and CCX have formed different carbon emission trading price mechanism. In the EU ETS, market dissymmetrical effect is very obvious and EGARCH(1,1)-t is both suitable to price estimation and forecast for two phases, but price mechanism is different. Volatility in phase Ⅰ is obviously larger than phase Ⅱ. In the CCX, contract price reacts distinctly on positive and negative news in phase Ⅰ, which means it fits EGARCH(1,1)-t; Contract price reacts congruously in phase Ⅱ, so it is suitable to GARCH(1,1)-GED. They are different in price mechanism. Meanwhile, volatility of price and its earnings in phase Ⅰ is much larger than phase Ⅱ. Their common points include that there are large in phase Ⅰ which are larger than their phase Ⅱ and EGARCH(1,1)-t is fitful to both models in price estimation and forecast of phase Ⅰ, which means dissymmetrical effect is obvious. The different points list as following. First, diverse price mechanism. EGARCH(1,1)-t is suitable to both phases of mandatory emission but only to phase one of voluntary emission, which discovers that dissymmetrical effect in mandatory market is larger than voluntary market. Second, there are great differences of them in volatility, ranging from mandatory phase Ⅰ, voluntary phase Ⅰ, voluntary phase Ⅱ to mandatory phase Ⅱ. In summary, price volatility of voluntary market is larger than mandatory market.
Third, EU ETS and CCX have different price influence factors. In the EU ETS, quota supply affected by policy and institution is the most important factor, but it has less and less effect on price with trading policy and system consummation. Crude oil, natural gas and coal also affect EUA price. Coal price is negative in phase Ⅰ, but not obvious in phase Ⅱ. Crude oil and natural gas price are positive, especially in sub-phase one of phase Ⅰ. Coal price has greater effect than crude oil and natural gas price. Wind, temperature and precipitation do not affect obviously. In the CCX, influence factors in phase Ⅰ is quota supply affected by policy and system and its effect is strengthened with time. Crude oil, natural gas, coal price, wind, temperature, and precipitation are not obvious. In phase Ⅱ, energy price is the greatest influence factor and wind, temperature and precipitation are all obvious. Quota supply affected by policy and system is always an influence factor of carbon emission trading. There are three aspects about them. First, quota supply has different effect on them. Quota supply is always the most essential factor in the EU ETS no matter phase Ⅰ or Ⅱ. In the CCX quota supply is the only obvious factor and its influence becomes greater and greater; its effect is smaller than energy price in phase Ⅱ. Second, differences in energy price. In the EU ETS, energy price has less effect and the greatest influence factor is coal price. However, in the CCX energy price is the most important factor and natural gas price is the greatest. Third, differences in weather factors. In the EU ETS weather factors are not obvious, but they are all obvious in phase Ⅱ of the CCX.
Fourth, design Chinese carbon emission market based on conclusions from theoretical and empirical research on the EU ETS and CCX. There are four aspects about it. First, market basis and condition. China must get consensus on carbon trading and a principle of cap and trade. Meanwhile, we may suffer diverse benefits including benefits among developed and developing area, benefits among developed areas and benefits among developing areas. They cause conflict on goal setting, quota distribution, money and technology. Second, trading model design. It is a long way to set carbon emission in China. China not only does not get consensus on carbon trading but also is lack of perfect law and coordination system at present, so it starts to set voluntary market rather than mandatory market. After long time trading, it changes to mandatory market gradually. Model design is divided into two phases, voluntary and mandatory phase. Third, price mechanism. There are four steps. The first step is phase I of voluntary market. There are obvious dissymmetrical effect and large price volatility. The second step is phase II of voluntary market. There are no dissymmetrical effect and smaller volatility than the first step. The third step is phase I of mandatory market. Dissymmetrical effect is obvious and price volatility is the greatest. The fourth step is phase II of mandatory market, also final state of carbon emission market. Dissymmetrical effect is very obvious and volatility becomes small, the smallest phase. Fourth, price influence factors. Chinese carbon emission market will be affected by quota supply, economic growth, energy price, weather, cutting costs and so on. In the voluntary model, quota supply affected by policy and system and energy price are important factors. Wind, temperature and precipitation also has relatively smaller effect on it. In the mandatory model quota supply affected by system is the most important model in both phases and energy price will also affect quota price. After analysis on these factors quota supply affected by policy and system is a subjective factor and China can make use of it forming mature price. In addition, we can regulate energy price, too. Operations of China carbon emission platform must exert on several phases. The first phase, from2012to2015, includes CDM, energy efficiency indicators and other environment rights rules formation and training. The second phase, from2015to2020, includes futures, options and voluntary operation. The third phase, later than2020, includes mandatory operation based on quota.
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