摘要
碳期货市场在碳市场扮演着极为重要的角色,通常具有价格发现的功能。本文分析了国际碳排放权交易市场两种主要商品EUA、CER的期货价格关系,通过向量误差修正模型和公共因子模型对欧盟碳期货EU-A与CER期货进行了实证研究。结果显示:EUA、CER这两种主要碳排价格指标之间具有很高的相关性,存在长期均衡的协整关系,均扮演着重要的价格发现角色,同时EUA期货价格引导CER期货价格变化。
Carbon futures market plays a vital role in carbon markets as to help with price discovering. The paper, based on Vector Error Correction Model and Common Factor Model, empirically analyzes the dynamic relationships between EUA and CER futures contracts in European Climate Exchange. The result shows that long-term cointegration exists between EUA and CER futures, and both EUA and CER play important roles in price discovering Also, the fluctuation of EUA futures price affects that of CER futures price.
出处
《上海金融》
CSSCI
北大核心
2011年第7期78-81,共4页
Shanghai Finance
