国际碳期货价格的均值回归:基于EU ETS的实证分析

Interpreting the mean reversion of international carbon futures price:Empirical evidence from the EU ETS

引入均值回归理论、GED-GARCH模型和VaR方法,考察EU ETS碳期货市场的运行特征.结果发现:不论是2006年的配额事件发生前还是发生后,EU ETS的碳交易期货市场的价格、收益、市场波动以及市场风险的变化均不服从均值回归过程,即它们的运动具有发散性,暂时不具有可预测的特性,这主要是由于政治决策、能源价格、股票市场、异常天气等一系列复杂因素的综合作用,导致碳市场效率不高,市场反应过度.国际碳市场的不可预测给我国CDM项目和银行理财产品的收益带来了显著影响.

This paper introduced the mean reversion theory,GED-GARCH model and Value-at-Risk（VaR） approach to verify the existence of mean reversion in carbon market under the EU ETS（European Union Emissions Trading Scheme）.Main empirical study results indicate that,whether before the compliance break in 2006 or after that,currently,neither carbon market price,return,volatility nor risk change moves along a mean reversion process;in other words,their movements take on some divergence,without the evidence for prediction.This for the most part results from the integrated influence of a number of complex factors such as political decisions,energy prices,stock market and extraordinary temperature,which brings about the low efficiency and overreaction in carbon market.The unpredictability of international carbon market exerts much influence on the returns of China＇s CDM projects and bank financing product investment.