欧盟碳期货市场EUA和CER期货价格关系分析

Relationship between European Union Allowance(EUA)and Certified Emission Reduction(CER)Prices in Carbon Futures Markets of European Union

采用2008-2014年彭博数据库洲际交易所交易(International Continental Exchange,ICE)的EUA期货及CER期货的单日价格,利用向量自回归模型、单位脉冲响应函数及方差分解,研究期货市场上EUAs价格及CERs价格的相关关系。结果表明,两个市场之间存在相互作用,第二阶段EUA期货价格表现出对CER期货价格变动的显著引导作用,其随机扰动项的冲击对CER期货价格方差变化造成73%的影响;在第三阶段,CER期货价格对自身价格的冲击所施加的传递反应明显,EUA期货价格的变动对CER期货价格的变动仍然具有较强的引导作用但作用减弱。

With daily price of EUA and CER of futures market obtained from Bloomberg International Continental Exchange,the relationship between EUAs futures prices and CERs futures prices was analyzed by Vector Autoregressive Model(VAR),Impulse Response Function and analysis of variance.The results showed that there were interactions existed between two markets.The EUA futures prices showed a significant impact on the changes of CER futures prices in the second phase.In the third phase,the response of the CER futures price to the impact of its own price change was obvious;the change of the EUA futures price still had strong but decreased leading effect on the change of the CER futures price.