JOURNAL OF SHANDONG UNIVERSITY(NATURAL SCIENCE) ›› 2019, Vol. 54 ›› Issue (5): 77-87.doi: 10.6040/j.issn.1671-9352.0.2018.453

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Domestic carbon price fluctuation and regional characteristics based on H-P filtering method

Shao-hui ZOU1,2(),Tian ZHANG3,*(),Xiao-xia YAN1,2   

  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
    3. University of International Business and Economics, Beijing 100029, China
  • Received:2018-08-06 Online:2019-05-20 Published:2019-05-09
  • Contact: Tian ZHANG E-mail:zoushaohui1976@163.com;2274540847@qq.com
  • Supported by:
    国家自然科学基金资助项目(71273207);国家自然科学基金资助项目(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

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Abstract:

The price of carbon emission trading in China has obvious volatility and regional differences. Scientifically describing the volatility of carbon emission trading price and analyzing the differences of different regions are conducive to avoiding investment risks, developing carbon market smoothly and improving the pricing ability of domestic carbon market in the international market. It is also particularly important to speed up the establishment of a unified national carbon market. H-P filtering is a commonly used trend decomposition method for economic variables, which can effectively analyze the seasonal variation law in time series data. Based on monthly data of carbon emission trading prices in seven major regions of China from December 2013 to June 2018, H-P filtering method is used to empirically study the fluctuation law and regional characteristics of domestic carbon prices. The results show that the domestic carbon price has a significant characteristic of "falling in fluctuation", showing 3 complete cycles, the time range of each cycle is 10~22 months. Peak and valley values show a downward trend in varying degrees, and all of them change from positive to negative, the cycle types show a steep downward trend. From the regional perspective, the volatility of carbon emission trading price in Tianjin and Beijing is more obvious, while the fluctuation of carbon emission trading price in Hubei and Chongqing has less impact on Tianjin.

Key words: carbon emissions trading price, H-P filtering, fluctuation rule, seasonal variation

CLC Number: 

  • F830

Fig.1

Domestic carbon price fluctuation"

Table 1

Average price of carbon emission rights in Shenzhen from 2013 to 2018"

(单位:元/吨二氧化碳当量)
2013年2014年2015年2016年2017年2018年
1月66.000 031.700 039.120 024.010 027.820 0
2月81.090 031.700 044.500 031.500 034.760 0
3月81.000 040.560 040.500 035.010 034.760 0
4月68.930 045.100 040.500 035.010 034.760 0
5月68.930 045.100 033.530 029.310 038.840 0
6月64.320 037.410 028.700 025.170 038.840 0
7月61.590 030.210 028.700 028.350 0
8月61.590 028.310 028.700 027.550 0
9月64.160 061.590 039.790 023.490 027.550 0
10月76.530 030.000 039.790 024.550 024.140 0
11月76.530 030.000 040.340 024.010 024.320 0
12月66.000 031.700 039.120 024.010 024.320 0

Fig.2

Carbon emission trading price and price fluctuations with Census X12"

Fig.3

Growth of carbon price in Shenzhen on a month-on-month basis"

Fig.4

Seasonal and irregular fluctuations of carbon emission trading prices in Shenzhen"

Fig.5

Seasonal fluctuation of carbon emission trading price in Shenzhen from 2013 to 2018"

Fig.6

Trend and cycle change of carbon emission trading price in Shenzhen from 2013 to 2018"

Table 2

Periodic characteristics of price fluctuations in carbon emission trading in Shenzhen"

周期时间波长/月峰值达到峰值时长/月谷值达到谷值时长/月周期类型
12013.09—2014.06101112.79陡降缓升
22014.07—2015.12187.16-13.612陡降陡升
32016.01—2017.1022-0.28-4.614陡降缓升
42017.11—2018.068/////

Fig.7

H-P filtering of the transaction prices of seven major carbon emission rights in China"

Table 3

Relevance analysis between price volatility of carbon emissions trading in different regions"

北京地区重庆地区广东地区湖北地区上海地区深圳地区天津地区
北京地区1
重庆地区0.782 0441
广东地区0.784 2800.927 3001
湖北地区0.688 2200.662 1000.607 6101
上海地区0.187 1540.121 4450.051 7250.297 0501
深圳地区0.999 8600.891 5300.919 8820.703 380.845 5651
天津地区0.922 1400.319 620-0.005 0520.086 5130.683 4320.820 3391

Table 4

Relevance analysis between trend values of carbon emission trading prices in different regions"

北京地区重庆地区广东地区湖北地区上海地区深圳地区天津地区
北京地区1
重庆地区0.759 8821
广东地区0.800 8670.665 9901
湖北地区0.688 1190.331 0070.823 9541
上海地区0.717 8900.685 9540.965 2200.567 7401
深圳地区0.559 6800.721 8900.702 3490.858 9840.542 0601
天津地区0.838 0720.842 1600.786 5340.916 7000.544 4070.890 7021
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