国际碳期货价格与国内碳价动态关系
Interaction relationship between international carbon future price and domestic carbon price

摘要： 碳排量的快速增加带来了严重的环境问题,并制约着经济社会的可持续发展。利用市场机制实现减排已经成为主要的碳排放控制路径。随着国内外碳市场的不断发展,国外碳期货市场必然影响国内碳现货市场的价格形成机制,进而两者的具体互动关系对于投资者理性投资和风险规避尤为重要。选取2013年12月至2017年10月之间的国际碳期货价格和国内碳价日交易数据,综合运用协整检验和Granger因果检验,在检验的基础上构建向量自回归(vector autoregression, VAR)模型,并用脉冲响应函数及方差分解法解析国际碳期货价格和国内碳价相互影响程度。研究结果表明:国际碳期货价格与国内碳价之间存在着长期的稳定关系,呈现出明显的单向因果关系;国内碳市场缺乏定价能力,因此其对国际碳期货市场影响较弱,处于被动地位。
Abstract: The rapid increase of carbon emissions has brought serious environmental problems and restricted the sustainable development of the economy and society. The use of market mechanism to achieve emission reduction has become the main control path of carbon emissions. With the continuous development of carbon market at home and abroad, foreign carbon futures market will inevitably affect the price formation mechanism of the domestic carbon spot market, and the specific interaction between them is of great importance for rational investment and risk aversion. We selected the data between December 2013 and October 2017 from the international carbon futures price and the domestic price of carbon, VAR model is constructed on the basis of cointegration and Granger causality test, and use the impulse response function and variance decomposition to analyze the mutual influence between the international carbon futures price and domestic carbon price. The results show that there is a long-term stable relationship between international carbon futures price and domestic carbon price, showing a significant one-way causality. Due to the lacks of pricing power, the domestic carbon market has a weak influence on the international carbon futures market and is in a passive position