%0 Journal Article
%T 碳排放权价格均值回归的周期及振幅<br>Period and amplitude of mean reversion of carbon price
%A 曾悦
%A 杨星
%A 蒋金良
%J 控制理论与应用
%D 2018
%R 10.7641/CTA.2018.70590
%X 本文运用谱估计技术分析了欧盟碳排放权价格均值回归周期、幅度及其与WTI, PMI之间的耦合关系. 研 究表明: 1) EUA现货价格具有显著的均值回归周期振荡特征, 周期约在15.5个月与3个月之间; 振幅约在??2.298到 4.823之间; 2) EUA现货价格均值回归与WTI原油价格指数的耦合周期在3个月到12个月之间, 耦合振幅在0.1958到 0.8843之间, 与PMI指数耦合周期约为4个月到11个月之间. 耦合振幅在0.1652到2.134之间; 3) 在所有耦合周期模态 下, 耦合周期越长, 耦合振幅越小.<br>This paper analysis of the price of EU carbon emissions mean return period, amplitude and coupling relations through the spectrum estimation technique. The results show that: 1) EUA spot prices have significant mean reversion characteristics of periodic oscillation, cycle between about 15.5 and 3 months; the amplitude between ??2.298 to 4.823; 2) Coupling cycle of EUA spot price mean reversion and WTI crude oil price index in 3 to 12 months, coupled amplitudes between 0.1958 to 0.8843, and the PMI index in 4 to 11 months. coupling amplitudes between 0.1652 to 2.134. The amplitude 3) in all the coupling cycle mode. The coupling cycle is long, the smaller the coupling amplitude.
%K 碳排放权价格 均值回归 周期与振幅 耦合关系 功率谱密度&lt
%K br&gt
%K carbon price mean reversion cycle and amplitude coupling relationship power spectral density
%U http://jcta.alljournals.ac.cn/cta_cn/ch/reader/view_abstract.aspx?file_no=CCTA170590&flag=1