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山东大学学报（理学版） ›› 2018, Vol. 53 ›› Issue (5): 70-79.doi: 10.6040/j.issn.1671-9352.0.2017.643

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国际碳期货价格与国内碳价动态关系

邹绍辉1,2,张甜1*   

  1. 1.西安科技大学管理学院, 陕西 西安 710054;2.西安科技大学能源经济与管理研究中心, 陕西 西安 710054
  • 收稿日期:2017-12-09 出版日期:2018-05-20 发布日期:2018-05-25
  • 作者简介:邹绍辉(1976— ),男,博士,副教授,研究方向为资源环境政策、能源系统工程与财务金融. E-mail: zoushaohui@163.com*通信作者简介:张甜(1991— ),女,硕士研究生,研究方向为能源金融、金融信息化. E-mail: 2274540847@qq.com
  • 基金资助:
    国家自然科学基金资助项目(71273207;71704140);陕西省科学技术研究发展计划项目(2011kjxx54);陕西省留学人员科技活动择优项目

Interaction relationship between international carbon future price and domestic carbon price

ZOU Shao-hui1,2, ZHANG Tian1*   

  1. 1. School of Management, Xi'an University of Science and Technology, Xi'an 710054, Shaanxi, China;
    2. Energy Economy and Management Research Center, Xi'an University of Science and Technology, Xi'an 710054, Shaanxi, China
  • Received:2017-12-09 Online:2018-05-20 Published:2018-05-25

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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。

关键词: 国际碳期货价格, 国内碳价, 向量自回归模型, 方差分解法, 脉冲响应

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.

Key words: impulse response, variance decomposition method, international carbon futures, vector autoregression(VAR)model, domestic carbon price

中图分类号: 

  • F830
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