国际核证减排量期货市场机制稳定性实证研究——基于时序多变量的因子分析法

An Empirical Study on the Stability of International Certified Emission Reduction Futures Market Mechanism——Based on Factor Analysis for Multivariate Time Series

以时间序列数据的多变量模型为基础,采用因子分析方法,对国际核证减排量期货市场进行"经济目的检验"。结果显示CER期货价格的期限结构的形状发生了改变,即没有通过"经济目的测试",因而不是稳定的机制,还不能够提供价格发现和风险转移的关键功能。其中一个原因是太多的市场参与者被认为是根据上级的信息执行定向交易。为了使国际CER期货市场机制达到稳定,市场机构应提供更加透明的信息,实现市场在交易和合同活动中的主导地位,优化市场参与者的结构,开发新的定价工具。

Based on the multivariate model of time series data, this paper uses the factor analysis method to conduct ＂economic purpose test＂ for the international certified emission reduction market（CER）. The analysis shows that new changes have taken place in the term structure shape of CER futures price, i.e. failing to pass the ＂economic purpose test＂, suggesting that the mechanism is not stable and cannot provide the key functions of price discovery and risk transfer. One of the reasons is that too many market participants are considered to perform directional transactions based on the information of the superior. In order to ensure the stability of the international CER futures market mechanism, the market mechanism should provide more transparent information, achieve market dominance in the transaction and contract activities, optimize the structure of market participants, tools. develop new pricing