碳排放权交易市场碳配额价格关联机制研究——基于计量模型的关联分析

The Study of Allowance Prices Association Mechanism on Carbon Emissions Trading Market: Based on Econometric Model Association Analysis

依据温室气体排放凭证种类的不同碳排放权交易市场的交易产品可分为碳排放配额和碳排放核证减排量两种。随着碳排放权交易市场的日益活跃,以及交易机制的不断完善,不同产品价格之间的相互影响关系也日趋紧密。如何认识并利用产品价格的关联关系,对于及时掌握碳市场的价格信号,依据不同阶段合理选择交易产品的类型,稳定和调控市场运行起着至关重要的作用。本文选取碳排放配额和碳排放核证减排量两种商品的现货价格以及期货价格作为研究对象,通过自回归模型和脉冲响应函数来分析比较上述商品价格之间的影响关系。研究结果发现,碳排放配额的价格在市场上处于主导作用,对碳排放核证减排量价格有引导作用,碳排放核证减排量的现货价格对碳排放配额的现货价格也具有较大的拉动作用,不同阶段的碳排放配额期货价格对碳排放配额现货价格的冲击作用存在差异。在此基础上,提出我国在未来碳排放权交易市场管理,应重视碳排放配额现货价格,注重发挥不同的碳排放权产品在价格管理方面的作用,逐步形成碳排放权交易市场内不同产品价格间相互促进的良性发展机制。

According to the differences of greenhouse gas emissions certificates, the products trade in the carbon emission trading market can be divided into Allowance and Certified Emission Reductions （CERs）. With the increasing active market and thoroughly equipped trading mechanism, the interactions between different prices will become closely related. If we could grasp the interactive theory of product price and correlation mechanism, we would make full use of future price discovery, which would be quite helpful to detect the price signal timely and develop products reasonably based on different development stages. It will be quite significant for our country＇ s construction of carbon emission trading market, especially on the stability and regulation of market operation. In this paper we will choose the spot and future price of the two commodities to analyze the interactive relations between different prices. Also, the market development stages will be taken into consideration. The method we use are the VAR model and impulse response function. The results show that the allowance price plays a leading role in the market ,which can guide the price of the CERs. In turn, the price of CERs can boost the development of the allowance spot price. The allowance future price can also push the development of allowance spot price, but the pushing effects differed based on the market stage of the expiring date. Based on the theory, we must put the spot price of carbon allowance in the core position of the pricing mechanism, while the other prices must play a good role at the same time. In this way, the products with different prices in the trading market would be mutually promoted and benignly developed.