碳排放权价格均值回归的周期及振幅
Period and amplitude of mean reversion of carbon price

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.
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.