人民币汇率对中国各区域碳价冲击效应的研究——基于VAR模型

Research on the impact of RMB exchange rate on China’s regional carbon price—— Based on VAR model

碳交易市场是平衡经济发展与生态环境的重要手段,目前中国各省份碳市场仍处于各自交易的阶段,在世界经济体联系加强的背景下,人民币汇率变动将对各地碳价具有不同程度的冲击效应。通过ADF单位根检验、JJ检验验证数据的平稳性及长期均衡关系,构建VAR向量自回归模型,基于Granger因果关系检验、脉冲响应函数以及方差分解结果,发现人民币汇率与深圳、湖北碳价存在Granger因果关系,对其冲击影响较大。在检验结果的基础上,为使碳市场能够持续健康发展,从提高企业自觉性、完善碳市场定价机制、合理运用政府调控3个方面提出相关建议。

The carbon trading market is an important means to balance economic development and ecological environment.At present,the carbon markets of various provinces and cities in China are still at the stage of their respective transactions.However,with the ever strengthening links among world economies,the fluctuation of RMB exchange rate will have different degrees of impact on local carbon prices.Therefore,by means of ADF unit root test and JJ test,the paper verifies the data stability and long-term equilibrium relationship.The VAR vector autoregressive model is constructed,after which the paper takes Granger causality test,impulse response function and variance decomposition results as the basis to conclude that the RMB exchange rate has a Granger causal relationship with carbon prices in Shenzhen and Hubei,which causes a great impact.Accordingly,the paper puts forward relevant suggestions from three aspects: improving corporate consciousness,improving carbon market pricing mechanism,and rationally applying government regulation with the aim to make the carbon market healthy and sustainable.