不同路径下能源价格对碳价格的传导关系研究

The Linkage Relationship between Energy Price and Carbon Price under Different Paths

针对已有文献大多探讨能源价格与碳价格间的影响程度,本文从建模的角度寻找碳价格与能源价格间的联动关系。首先,使用随机微分方程刻画碳与能源的价格走势,得到碳——能源联动模型解析解。其次,在解析解的基础上,分别讨论能源价格如何通过影响碳市场价格均值、波动率路径从而影响整个碳价格。第三,分析重大能源政策产生的跳跃对碳价格的影响。结果显示,随着能源与碳市场关联程度的增加,相较于能源价格通过均值路径影响碳价格,其通过波动率路径影响碳价格的效果更为明显;且跳跃路径下的碳价格震荡小于波动率路径下能源价格传导引起的碳价格震荡。本文的结果对理清碳——能源价格联动关系具有积极意义,为投资者规避碳市场风险提供必要理论指导。

The resource of carbon dioxide mainly originates from fossil fuel combustion, which attracts a lot of scholars to believe that the carbon price is more vulnerable to the effects of energy price through energy price fluctuations. In view of the existing literature on the relationship between energy and carbon price, and based on model construction, this paper aims to find the transmission effect of the energy price fluctuation on the carbon price fluctuation with different influence paths： mean, volatility and jump. Firstly, the stochastic differential equation is used to describe the price trend of carbon and energy, and then the analytical solution is obtained by solving the characteristic equation. Secondly, on the basis of this solution, we discuss the influence degrees of energy price under the mean and volatility paths on the carbon price. Thirdly, analyzing the impact of jump caused by major events in the energy market, we further enhance the explanation potency of the interaction equa-tion. The experimental results of this paper reveal that there is a linkage between energy price and carbon price, but different paths have different effects on the linkage. On the one hand, it can be learnt that, compared with the energy price which impacts carbon price through the volatility path, its influence through the carbon price mean path is obvious. On the other hand, the shocks of the carbon price caused by jumps are smaller than that of energy volatility transmission. Accordingly, for risk control in carbon market, investors should fully comprehend the correlation？ intensity between different energy markets and carbon market; especially require paying attention to the impact of energy price on the carbon price under the volatility path.