人民币汇率冲击中国碳价的非对称效应——基于马尔科夫转换模型的实证研究

Asymmetric Effect of RMB Exchange Rate on Carbon Price in China:An Empirical Analysis Based on Markov-Switching Model

汇率可通过影响能源价格和对外贸易,进而冲击碳交易价格。在汇率、能源和碳市场动态联动的框架下,构建汇率冲击碳价的理论框架,基于马尔科夫转换模型的分析表明:汇率波动对碳价的正向和负向冲击存在区域差异,但各区域低波动和高波动状态下的冲击方向一致,而且人民币汇率升贬值对各碳市场的碳价均呈现出显著的非对称效应,且非对称性存在着区域差异。人民币升值对北京、上海和深圳碳价的传递效应更大;而人民币贬值对天津、湖北和广东碳价的传递效应更大。因此,政府在制定政策时应考虑汇率对碳价的非对称冲击效应,全国统一碳市场的构建应充分考虑到区域差异,探索提高中国的碳定价权,进而提高在国际气候谈判中的话语权。

Exchange rate can impact on carbon price through energy prices and foreign trade.Facing the pressure of RMB depreciation,researches on the impact of exchange rate on carbon market contribute to finding the carbon pricing theory of China,improving the carbon price management level and promoting international climate negotiations voice.In this paper,we establish a theoretical framework of how exchange rate impacts on carbon price in China based on the dynamic linkage of exchange rate,energy and carbon markets.The results of MS Model suggest that the impact of exchange rate volatility on carbon prices has regional differences,but in both low volatility and high volatility the impact direction is the same in six cities.In addition,the impact of RMB exchange rate volatility on carbon prices is asymmetric and also this kind of asymmetric effect has regional differences.The effect of RMB appreciation to the carbon prices is stronger in Beijing,Shanghai and Shenzhen.On the contrast,the effect of RMB depreciation to the carbon prices is weaker in Tianjin,Hubei and Guangdong.Therefore,when establishing the national united carbon market,government should take the asymmetric effect of RMB exchange rate impacts on carbon price as well as its regional differences into consideration,explore the carbon asset pricing power of China and then improve our international climate negotiations voice in the future.