二氧化碳排放权现货及期货价格研究
摘要
随着碳交易市场的活跃和中国在碳交易市场中的重要性逐渐上升,以及我国新能源投资进程的加快,国内越来越多的企业参与到了国际碳交易市场的交易中。本文的主要研究目的在于为国内参与碳交易市场的企业提供一个对排放权及其衍生品价格的分析框架和一个风险控制工具。
本文第一部分从现货价格入手,分别从理论和实证两个角度入手分析碳排放权现货价格的行为。研究结论显示:1)排放权的价格波动率随着时间和价格而有所不同;2)价格行为无法用同一的随机模型进行描述。这两点的存在是同碳交易机制的设计密切相关的。在现有的ETS框架下,其价格行为体现出来的性质同股票市场完全不同。
上述结论的一个直接疑问便是其衍生品价格行为如何。通过研究我们发现其期货价格的行为,根据到期日的不同而有所不同。若到期日同现货价格处在同一交割期内,则简单的持有成本法即可适用;而对于不在同一交割期内的期货合约,本文利用二因子模型对其定价,但由于无法实现无套利均衡,因而得到的价格偏差较大。
文章最后一部分是针对本文采用模型的不足和进一步的研究工作的讨论。
Following the carbon market becomes more and more popular, China is improving its influence. The new energy investment is accelerating, more enterprises joint in the market. In this article, we offer an analysis framework for the emission right, and a tool of risk control.
The first part, we start from the theory and empirical analysis. The results show that: 1) The volatility is the function of time and price; 2) We can not use an uniform model to simulate the process. These have an intimate relationship with the trading mechanism, under the ETS, the emission right price is totally different with the stock price.
The direct question is: how about the derivatives price? By research, we find that the futures price is different according to the different maturity. If the maturity and the EUA is in the same phase, we can simply use the cost-of-carry method to value it; If they are different, we use a two factors model to price the futures. We can not reach the no arbitrage equilibrium, so the error is a little big.
At last we point out some weak points of the models, and the next step of the research.
本文第一部分从现货价格入手,分别从理论和实证两个角度入手分析碳排放权现货价格的行为。研究结论显示:1)排放权的价格波动率随着时间和价格而有所不同;2)价格行为无法用同一的随机模型进行描述。这两点的存在是同碳交易机制的设计密切相关的。在现有的ETS框架下,其价格行为体现出来的性质同股票市场完全不同。
上述结论的一个直接疑问便是其衍生品价格行为如何。通过研究我们发现其期货价格的行为,根据到期日的不同而有所不同。若到期日同现货价格处在同一交割期内,则简单的持有成本法即可适用;而对于不在同一交割期内的期货合约,本文利用二因子模型对其定价,但由于无法实现无套利均衡,因而得到的价格偏差较大。
文章最后一部分是针对本文采用模型的不足和进一步的研究工作的讨论。
Following the carbon market becomes more and more popular, China is improving its influence. The new energy investment is accelerating, more enterprises joint in the market. In this article, we offer an analysis framework for the emission right, and a tool of risk control.
The first part, we start from the theory and empirical analysis. The results show that: 1) The volatility is the function of time and price; 2) We can not use an uniform model to simulate the process. These have an intimate relationship with the trading mechanism, under the ETS, the emission right price is totally different with the stock price.
The direct question is: how about the derivatives price? By research, we find that the futures price is different according to the different maturity. If the maturity and the EUA is in the same phase, we can simply use the cost-of-carry method to value it; If they are different, we use a two factors model to price the futures. We can not reach the no arbitrage equilibrium, so the error is a little big.
At last we point out some weak points of the models, and the next step of the research.
引文
[1]吕学都,刘德顺主编,《清洁发展机制在中国》,清华大学出版社,2004.?
[2]邵宇,刁羽,《微观金融学及其数学基础》,清华大学出版社,2008.?
[3]金龙,王正林,《精通MATLAB金融计算》,电子工业出版社,2009.?
[4]《联合国气候变化框架公约》京都议定书,联合国,1998?
[5]马燕合,郭日升,《清洁发展机制项目开发百问百答》,科学出版社,2009?
[6] MIT Joint Program on the Science and Policy of Global Change, EPPA Model, Version4, 2005.08
[7] A. Denny Ellerman and Annelene Decaux, Analysis of Post-Kyoto CO2 Emissions Trading Using Marginal Abatement Curves. Working Paper, Source: SSRN.
[8] A. Denny Ellerman, H.D. Jacoby, and A. Decaux, The Effects on Developing Countries of the Kyoto Protocol and CO2 Emission Trading.
[9] V. Tulpule, S. Brown, and others, An Economic Assessment of the Kyoto Protocol Using the Global Trade and Environment Model. Conference Paper, 1998.
[10] Ross McKitrick, A Derivation of the Marginal Abatement Cost Curve, Journal of Environmental Economics and management 37, 306-314, 1999.
[11] Gernot Klepper and Sonja Peterson, Marginal Abatement Cost Curves in General Equilibrium: The Influence of World Energy Prices. Working Paper, Source:SSRN.
[12] Harri Laurikka, Option Value of gasification technology within an emissions trading scheme. Energy Policy 34(2006) 3916-3928.
[13] Joseph Sarkis, Maurry Tamarkin, Real Options Analysis for renewable energy technologies in a GHG emissions trading environment. Emissions Trading, DOI: 10.1007/978-0-387-73653-2_7.
[14] Joseph Sarkis, Maurry Tamarkin, Real Options Analysis for“Green Trading”: The case of greenhouse gases. The Engineering Economist, 50:273-294, 2005.
[15] Edeltraud Guenther, Martin Nowack, Gabriel Weber, Real options thinking as a business approach to deal with climate change uncertainties. Working paper. Source:SSRN.
[16] Marliese Uhrig-Homburg, Michael Wagner, Futures Price Dynamics of CO2 Emission Certificates- An Empirical Analysis. Working Paper. Source: SSRN.
[17] Benz, Eva/Truck, Stefan, Modeling the price of CO2 Emission Allowances. Working Paper. Source: SSRN. 2006.
[18] Paolella, Marc S./Taschini, Luca, An Econometric Analysis of Emission Trading Allowances. Research Paper. Source: SSRN.
[19] Borak, Szymon/Hardle, Wolfgang/Truck, Stefan/Weron, Rafal, Convenience Yields for CO2 Emission Allowance Futures Contracts, Working Paper, 2006. Source: SSRN.
[20] Daskalakis, George, Model CO2 Emission Allowance Prices and Derivatives: Evidence From the EEX. Working Paper. Source: SSRN.
[21] Fehr, Max/Hinz, Juri, A Quantitative Approach to Carbon Price Risk Modeling. Working Paper, ETH Zentrum.
[22] Robert C. Merton, Option Pricing When Underlying Stock Returns Are discontinuous. The Journal of Finance, 1975.
[23] Gonzalo Cortazar, Eduardo S. Schwartz, Implementing a Stochastic Model for Oil Futures Prices. Working Paper. Source: SSRN.
[24] Suresh P. Sethi, Gerald L. Thompson, Optimal Control Theory: Applications to Management Science and Economics, Second Edition, Springer, 2006.
[25] State and Trends of the Caron Market 2008, The World Bank.
[26] Martina Jung, The Role of Forestry Sinks in the CDM- Analyzing the Effects of Policy Decisions on the Carbon Market. 2003.
[27] John Y. Campbell, Andrew W. Lo, A. Craig MacKinlay, The econometrics of financial markets, Princeton University Press, 1997.
[28] S. G. Kou, A Jump-Diffusion Model for Option Pricing, Management Science, Vol 48, Aug 2002.
[29] Daskalakis, G. Markellos, Are the European carbon markets efficient?, Reviews of Futures Markets 17, 103-128, 2008.
[30] Schwartz, The stochastic behavior of commodity prices: Implications ofr valuation and hedging, Journal of Finance 52, 923-973, 1997.
[31] Hilliard, J.E., Reis, Valuation of commodity futures and options under stochastic convenience yields, interest rates, and jump diffusions in the spot. Journal of Financial and Quantitative Analysis 33, 61-86, 1998.
[32] http://www.worldbank.org/?
[33] http://www.un.org/zh/climatechange/?
[34] http://unfccc.int/2860.php?
[35] http://www.eex.com/en/?
[36] http://www.nordpool.com/en/?
[37] http://www.bloomberg.com?
[2]邵宇,刁羽,《微观金融学及其数学基础》,清华大学出版社,2008.?
[3]金龙,王正林,《精通MATLAB金融计算》,电子工业出版社,2009.?
[4]《联合国气候变化框架公约》京都议定书,联合国,1998?
[5]马燕合,郭日升,《清洁发展机制项目开发百问百答》,科学出版社,2009?
[6] MIT Joint Program on the Science and Policy of Global Change, EPPA Model, Version4, 2005.08
[7] A. Denny Ellerman and Annelene Decaux, Analysis of Post-Kyoto CO2 Emissions Trading Using Marginal Abatement Curves. Working Paper, Source: SSRN.
[8] A. Denny Ellerman, H.D. Jacoby, and A. Decaux, The Effects on Developing Countries of the Kyoto Protocol and CO2 Emission Trading.
[9] V. Tulpule, S. Brown, and others, An Economic Assessment of the Kyoto Protocol Using the Global Trade and Environment Model. Conference Paper, 1998.
[10] Ross McKitrick, A Derivation of the Marginal Abatement Cost Curve, Journal of Environmental Economics and management 37, 306-314, 1999.
[11] Gernot Klepper and Sonja Peterson, Marginal Abatement Cost Curves in General Equilibrium: The Influence of World Energy Prices. Working Paper, Source:SSRN.
[12] Harri Laurikka, Option Value of gasification technology within an emissions trading scheme. Energy Policy 34(2006) 3916-3928.
[13] Joseph Sarkis, Maurry Tamarkin, Real Options Analysis for renewable energy technologies in a GHG emissions trading environment. Emissions Trading, DOI: 10.1007/978-0-387-73653-2_7.
[14] Joseph Sarkis, Maurry Tamarkin, Real Options Analysis for“Green Trading”: The case of greenhouse gases. The Engineering Economist, 50:273-294, 2005.
[15] Edeltraud Guenther, Martin Nowack, Gabriel Weber, Real options thinking as a business approach to deal with climate change uncertainties. Working paper. Source:SSRN.
[16] Marliese Uhrig-Homburg, Michael Wagner, Futures Price Dynamics of CO2 Emission Certificates- An Empirical Analysis. Working Paper. Source: SSRN.
[17] Benz, Eva/Truck, Stefan, Modeling the price of CO2 Emission Allowances. Working Paper. Source: SSRN. 2006.
[18] Paolella, Marc S./Taschini, Luca, An Econometric Analysis of Emission Trading Allowances. Research Paper. Source: SSRN.
[19] Borak, Szymon/Hardle, Wolfgang/Truck, Stefan/Weron, Rafal, Convenience Yields for CO2 Emission Allowance Futures Contracts, Working Paper, 2006. Source: SSRN.
[20] Daskalakis, George, Model CO2 Emission Allowance Prices and Derivatives: Evidence From the EEX. Working Paper. Source: SSRN.
[21] Fehr, Max/Hinz, Juri, A Quantitative Approach to Carbon Price Risk Modeling. Working Paper, ETH Zentrum.
[22] Robert C. Merton, Option Pricing When Underlying Stock Returns Are discontinuous. The Journal of Finance, 1975.
[23] Gonzalo Cortazar, Eduardo S. Schwartz, Implementing a Stochastic Model for Oil Futures Prices. Working Paper. Source: SSRN.
[24] Suresh P. Sethi, Gerald L. Thompson, Optimal Control Theory: Applications to Management Science and Economics, Second Edition, Springer, 2006.
[25] State and Trends of the Caron Market 2008, The World Bank.
[26] Martina Jung, The Role of Forestry Sinks in the CDM- Analyzing the Effects of Policy Decisions on the Carbon Market. 2003.
[27] John Y. Campbell, Andrew W. Lo, A. Craig MacKinlay, The econometrics of financial markets, Princeton University Press, 1997.
[28] S. G. Kou, A Jump-Diffusion Model for Option Pricing, Management Science, Vol 48, Aug 2002.
[29] Daskalakis, G. Markellos, Are the European carbon markets efficient?, Reviews of Futures Markets 17, 103-128, 2008.
[30] Schwartz, The stochastic behavior of commodity prices: Implications ofr valuation and hedging, Journal of Finance 52, 923-973, 1997.
[31] Hilliard, J.E., Reis, Valuation of commodity futures and options under stochastic convenience yields, interest rates, and jump diffusions in the spot. Journal of Financial and Quantitative Analysis 33, 61-86, 1998.
[32] http://www.worldbank.org/?
[33] http://www.un.org/zh/climatechange/?
[34] http://unfccc.int/2860.php?
[35] http://www.eex.com/en/?
[36] http://www.nordpool.com/en/?
[37] http://www.bloomberg.com?
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