EU ETS碳排放期货价格的均值回归——基于CKLS模型的实证研究

The Mean Reversion of EU ETS Carbon Futures Price——Empirical Evidence Base on CKLS Model

利用LASSO方法估计CKLS模型,结合似然率检验,研究EU ETS碳排放期货价格的运行特征。研究发现,在EU ETS第一阶段交易的DEC07期货价格不存在均值回归特征,这是因为价格受到政策、宏观经济、能源价格以及异常天气等因素影响而呈发散趋势;而EU ETS第二阶段交易的DEC09、DEC10和DEC11期货价格均有均值回归的特征,这表明,随着该碳排放交易机制的成熟,尽管受到众多因素的影响,但EUA期货价格的具有可预测的长期趋势。因此,研究EUA期货的长期趋势,可以为我国航空业等直接或间接与EUETS相关企业和清洁发展机制项目(CDM)规避风险提供有益参考。

The aim of this work is to introduce LASSO estimate method and CKLS model to analyze the mean reversion of the EU ETS carbon emission allowance futures price,combine with likelihood rate test.Main empirical study results indicate that,LASSO method give a better estimator of CKLS model＇s parameters,and the EUA future prices in Phase Ⅰ did not move along a mean reversion process.However,the future prices of EUA09,EUA10 and EUA11 in Phase Ⅱ illustrate this character,indicating that with the maturity of the EU ETS,EUA futures price have a predictable long term trends,despite a number of factors affect it.Therefore,the study of long-term trends of the EUA futures price is conducive to China＇s aviation industry and related businesses such as the Clean Development Mechanism projects（CDM） to avoid the market risks.