上海区域碳现价和碳远期价格相关性和收敛性研究
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摘要
基于对欧洲碳排放权交易市场碳配额现货与远期的发展运行经验和我国碳交易试点运行接近5年的客观情况,文章以上海区域2016—2017年的交易数据为基础,运用皮尔森相关系数和横截面方差比对碳排放权现货价格和碳远期价格的相关性和收敛性进行研究,结果表明两者的相关系数和理论相比不是很高,可能与我国碳排放市场发展不成熟、金融产品并没有普遍推行、种类单调有关,也和碳远期产品距离到期的时间远近、产品的属性以及远期市场与期货市场存在区别等有关。尽管两者价格在短期内可能存在偏离,但是在长期它们最终会趋于一致,两者存在收敛性。因此,我国应该尽快推行金融衍生产品,早日建立全国统一排放市场。
Based on the development and operation experience of European carbon quota forward and spot market, as well as the objective situation of China's carbon trading pilot market running for nearly five years, the correlation and convergence of carbon emission spot price and carbon forward price are studied by using Pearson correlation coefficient and cross section variance ratio based on the trading data of Shanghai region from 2016 to 2017. The results show that the correlation coefficient of the two is not very high compared with the theory, which may be related to the immature development of China's carbon emission market, the lack of widespread implementation of financial products and monotonous types. It can also be related to the distance between carbon forward products and maturity, the properties of products and the differences between forward market and futures market. However, although the prices of the two may be deviated in the short term, they will eventually converge in the long term, and they have convergence. Therefore, China should promote financial derivatives and establish a national unified emission market as soon as possible.
Based on the development and operation experience of European carbon quota forward and spot market, as well as the objective situation of China's carbon trading pilot market running for nearly five years, the correlation and convergence of carbon emission spot price and carbon forward price are studied by using Pearson correlation coefficient and cross section variance ratio based on the trading data of Shanghai region from 2016 to 2017. The results show that the correlation coefficient of the two is not very high compared with the theory, which may be related to the immature development of China's carbon emission market, the lack of widespread implementation of financial products and monotonous types. It can also be related to the distance between carbon forward products and maturity, the properties of products and the differences between forward market and futures market. However, although the prices of the two may be deviated in the short term, they will eventually converge in the long term, and they have convergence. Therefore, China should promote financial derivatives and establish a national unified emission market as soon as possible.
引文
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[24]杨军战.我国黄金期货与现货价格互动影响实证研究[J].上海经济研究,2014(1):83-89.
[25]王丹,程玲.欧盟碳配额现货与期货价格关系及对中国的借鉴[J].中国人口·资源与环境,2016(7):85-92.
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[29]King M,Cuc M.Price convergence in North American natural gas spot markets[J].The Energy Journal,1996,17(2):17-42.
[30]Mizrach B.Integration of the global emission trading markets[D]Rutgers:Rutgers University,2009.
[2]Alberola E,Chevallier J,Chèze B.Price drivers and structural breaks in European carbon prices 2005-2007[J].Energy Policy,2008,36(2):787-797.
[3]Balietti A C.Trader types and volatility of emission allowance prices.Evidence from EU ETS phaseⅠ[J].Energy Policy,2016(98):607-620.
[4]Sanin M E,Violante F,Mansanet-Bataller M.Understanding volatility dynamics in the EU-ETS market[J].Energy Policy2015(82):321-331.
[5]Dutta A.Modeling and forecasting the volatility of carbon emission market:The role of outliers,time-varying jumps and oil price risk[J].Journal of Cleaner Production,2018(172):2773-2781.
[6]Zhao X L,Zou Y,Yin J L,et al.Cointegration relationship between carbon price and its factors:Evidence from structural breaks analysis[J].Energy Procedia,2017(142):2503-2510.
[7]吴振信,万埠磊,王书平,等.欧盟碳价波动的结构突变特性检验[J].数理统计与管理,2015(6):969-977.
[8]朱帮助.国际碳市场价格驱动力研究--以欧盟排放交易体系为例[J].北京理工大学学报(社会科学版),2014(3):22-28.
[9]Convery F J,Redmond L.Market and price development in the European Union Emission Trading Scheme[J].Environmental and Resource Economists,2007,1(1):88-111.
[10]Bunn D W,Fezzi C.Interaction of European carbon trading and energy prices[R].Milan:Fondazione Eni Enrico Mattei Working Papers,2007.
[11]刘维泉,张杰平.EU ETS碳排放期货价格的均值回归--基于CKLS模型的实证研究[J].系统工程,2012(2):44-51.
[12]赵静雯.欧盟碳期货价格与能源价格的相关性分析[J].金融经济,2012(7):92-94.
[13]Kamdem J S,Nsouadi A,Terraza M.Time-frequency analysis of the relationship between EUA and CER carbon markets[J].Environ Model&Assess,2016,21(2):279-289.
[14]Tang B J,Shen C,Zhao Y F.Market risk in carbon market:An empirical analysis of the EUA and CERs[J].Natural Hazards,2015(75):333-346.
[15]Nazifi F.Modelling the price spread between EUA and CERcarbon prices[J].Energy Policy,2013(56):434-445.
[16]Dickey D A,Fuller W A.Distribution of the Estimators for autoregressive time series with a unit root[J].Journal of the American Statistical Assosiation,1979,74(33):427-431.
[17]Granger C W J.Some properties of time series data and their use in econometric model specification[J].Journal of Economics1981,16(1):121-130.
[18]Engle R F,Granger C W J.Cointegration and error correction:Representation,estimation and testing[J].Econometrica1987(55):251-276.
[19]Johansen S.Estimation and hypothesis testing of cointegration vector in Gaussian vector autoregressive models[J].Econometrica1991(59):1551-1581.
[20]Johansen S.Likelihhod-Based inference in cointegration vector autoregressive models[M].Oxford:Oxford University Press,1995.
[21]李军,韩清萍.我国钢材远期合约与现货产品价格实证研究[J]北京科技大学学报(社会科学版),2007(23):32-36.
[22]张坤,赵玉.铀的远期价格与现货价格关系实证研究[J].东华理工大学学报(社会科学版),2013(1):4-9.
[23]孙志红,王亚青.农产品现货价格与期货价格关联研究[J].干旱区地理,2015(5):1049-1060.
[24]杨军战.我国黄金期货与现货价格互动影响实证研究[J].上海经济研究,2014(1):83-89.
[25]王丹,程玲.欧盟碳配额现货与期货价格关系及对中国的借鉴[J].中国人口·资源与环境,2016(7):85-92.
[26]Phillips P C B,Sul D.Transition modelling and econometric convergence tests[J].Econometrica,2007,75(6):1771-1855.
[27]Hall S G,Robertson D,Wickens M R.Measuring convergence of the EC economies[J].The Manchester School,1992(60):99-111.
[28]Caporate G,Pattis N.Common stochastic trends and inflation convergence in the EMS[J].Weltwirtschafiliches Archive,1993129(2):207-215.
[29]King M,Cuc M.Price convergence in North American natural gas spot markets[J].The Energy Journal,1996,17(2):17-42.
[30]Mizrach B.Integration of the global emission trading markets[D]Rutgers:Rutgers University,2009.