欧盟碳期货交易价格波动风险对我国的启示

Enlightenment of Price Fluctuation Risk of EU Carbon Future Trade to China

为促进碳减排事业和人类的可持续发展,围绕期货价格波动的风险进行实证研究。首先阐述了EU ETS碳市场建立及发展的三个阶段特征,并以交易最活跃的欧盟碳期货数据为例,运用GARCH模型和Va R方法实证得出碳期货每个阶段交易的风险,结果表明:三个阶段碳期货价格收益率均具有尖峰厚尾、自相关、异方差性。碳期货市场存在显著的簇聚等特征,分析造成三个阶段碳期货风险原因,得出我国未来建立碳期货市场必须要建立价格稳定机制并加强监管的启示。

In order to improve the carbon emission reduction career and sustainable development of humanity, this article takes an empirical study around the risk of future price fluctuation. First, it discusses the characteristic of the three stage of EU ETS carbon market, uses GARCH model and VaR method to take an empirical study to obtain the trade risk in each stage of carbon future by taking the most active EU carbon future data, the result indicates： the yield rate of the three stage of carbon future price all have characteristic of sharp peak and thick tail, self-correlation and heteroscedasticity. Carbon future market has significant characteristic of clustering, the article analyzes the reason to result in the risk of the three stage of carbon future risk, and concludes the enlightenment that China has to establish price stabilizing system and strengthen supervision for building the carbon future market in the future.