中国试点碳市场收益率波动性研究及启示——基于ARMA-GRACH模型的实证分析

Research on the Rate of Return Volatility of China's Pilot Carbon Market and its Enlightenment: An Empirical Analysis Based on ARMA-GRACH Model

中国为积极应对全球气候问题,承担起大国责任,正努力探索建立全国统一的碳交易市场,相继启动了七个碳交易试点。基于ARMA-GARCH模型,对国内碳排放权价格收益率波动性进行的实证分析结果显示,中国的碳交易市场呈现出尖峰厚尾、波动聚集和条件方差等特征,ARMA-GARCH模型对北京、湖北、重庆、广东、深圳五个碳交易市场有较好的拟合。研究表明,目前中国碳交易市场需构建统一的碳市场交易准则,提高碳市场的流动性并保持碳交易市场政策的连贯性。对试点省市碳交易市场价格的研究,为中国完善碳交易价格机制,全面启动碳交易市场提供了重要的依据。

To actively respond to the global climate problem,promote the national energy-saving emission reduction,and improve China＇s carbon emissions trading system,China has launched seven carbon trading pilot.Based on the ARMA-GARCH model,this paper makes an empirical analysis on the return of volatility of domestic carbon emission price. The results show that the carbon trading market in China has the same characteristics as other financial asset price time series presenting Peak tail,volatility aggregation and conditional variance. The ARMAGARCH model has a good fitting to the carbon trading market including Beijing,Hubei,Chongqing,Guangdong,and Shenzhen. The current carbon market in China should build a unified carbon market trading standards,improve the liquidity of the carbon market,and maintain the coherence of carbon trading market policy. The analysis of the pilot can provide a reference for the carbon trading market which will comprehensively start.