碳排放权价格均值回归的周期及振幅

Period and amplitude of mean reversion of carbon price

本文运用谱估计技术分析了欧盟碳排放权价格均值回归周期、幅度及其与WTI,PMI之间的耦合关系.研究表明:1)EUA现货价格具有显著的均值回归周期振荡特征,周期约在15.5个月与3个月之间;振幅约在-2.298到4.823之间;2)EUA现货价格均值回归与WTI原油价格指数的耦合周期在3个月到12个月之间,耦合振幅在0.1958到0.8843之间,与PMI指数耦合周期约为4个月到11个月之间.耦合振幅在0.1652到2.134之间;3)在所有耦合周期模态下,耦合周期越长,耦合振幅越小.

This paper analysis of the price of EU carbon emissions mean return period, alnplitnde and coupling relations through the spectrum estimation technique. The results show that： 1） EUA spot prices have significant mean reversion characteristics of periodic oscillation, cycle between about 15.5 and 3 months; the amplitude between -2.298 to 4.823; 2） Coupling cycle of EUA spot price mean reversion and WTI crude oil price index in 3 to 12 months, coupled alnplitndes between 0.1958 to 0.8843, and the PMI index in 4 to 11 months, coupling amplitudes between 0.1652 to 2.134. The amplitude 3） in all the coupling cycle mode. The coupling cycle is long, the smaller the coupling amplitude.