我国碳市场的流动性困境问题

Research on the Liquidity Problem in China's Pilot Carbon Markets

基于面板VAR模型,本文测度了中国6个试点碳市场不同履约期下收益率、波动率与流动性三者间的动态互动关系,并探究履约窗口期下三者的关联特征与相互影响程度。结果表明,"收益率-波动率-流动性"三者间存在显著的动态关联性,其中,收益率对流动性影响较流动性自身滞后项的影响更大。在履约窗口期碳市场活跃度较高。价格调节机制能够有效影响市场流动性,解决流动性枯竭现象。由此,应运用价格管理机制改善市场流动性,减少对企业交易行为的干预,提高碳交易体系的市场化程度;应采用差异化的管理策略,提升企业碳资产管理水平,进而避免经济下行时,出现碳配额过剩问题。

The carbon market liquidity affects the carbon price signal, and it can influence the effects about carbon emission reduction. The mandatory policy cannot guarantee the continuity of market liquidity and solve the liquidity problem effectively. This paper estimates the dynamic relationship among liquidity, return and volatility in China＇ s pi- lot carbon markets using Panel VAR model, analyzes the dynamic relationship in the performance window. The results show that there were significant interaction effects among liquidity, return and volatility, and the effect of return on li- quidity was greater than that of liquidity itself. The carbon markets were highly active in the performance window, and in the performance period of 2014, there was a ＂fracture＂ between the performance window and the other period, but the phenomenon was improved in 2015. The price regulatory mechanism can affect the liquidity of the market and solve the phenomenon of liquidity exhaustion. The government should use the price management mechanism to im- prove market liquidity, reduce the intervention about enterprises＇ trading behaviors, and increase the degree of mar- ketization of carbon trading system; Meanwhile, the government should use differentiated management strategy to im- prove enterprises＇ carbon asset management level. The markets can solve the problem of excess carbon quotas when facing the situation of economic downturn.