碳排放、动态套期保值与资产收益风险

Carbon Emissions、Dynamic Hedging and Return on Assets Risk

本文运用Engle和Granger(EG)两步法和误差修正模型(ECM)检验了CER碳排放现货价格和期货价格存在明显的协整关系,同时使用误差修正的广义自回归条件异方差(ECM-GARCH)及修正的ECM-GARCH模型对CER碳排放现货与期货之间的动态最优套期保值比率和套期保值效果进行实证分析。结果显示,由ECM-GARCH及修正的ECM-GARCH模型确定最优套期保值比率随时间变化而呈现时变性,且碳排放现货和期货的前期价格信息以及误差修正项均对套期保值组合效果有显著的影响。相对ECM-GARCH模型,市场参与者运用修正的ECM-GARCH模型优化调整资产套期保值组合头寸,可以更有效地降低资产收益风险。

this paper proposes that spot and futures prices of CER carbon emissions exihibit significant co-integration relation using Engle ＆ Granger＇ s two-step model （EG） and error-correction model （ECM）. We present empirical evidence on time-varying optimal hedge ratio and hedging efficiency between spot and futures for CER carbon emissions by using the error -correction generalized autoregressive conditional heteroskedasticity （ECM-GARCH） and modified ECM-GARCH. Our empirical results show optimally dynamic hedge ratios from the ECM-GARCH and modified ECM-GARCH exhibit obvious Lime-varying trends, previous prices information and error-correction term both spot and futures for carbon emissions have significant impacts on hedging portfolio effectiveness. Compared with ECM-GARCH model, market participants can optimize assets portfolio sizes and effectively decrease market risks of assets portfolio returns.