欧盟碳期货与现货价格引导关系及启示

Guiding Relationship between EU Carbon Futures and Spot Price and Its Enlightenment

以欧盟碳市场发展的第三阶段作为研究对象,选取2016年9月1日至2018年7月31日共499组样本数据,通过平稳性检验、Granger因果关系检验、协整检验和建立误差修正模型,对欧盟碳期货与现货价格引导关系进行了分析,并对我国碳市场的长远发展提出建议。实证结论为:(1)CER碳期货与现货价格存在相互引导关系,EUA碳期货单方面引导EUA现货价格,并且EUA期货对现货价格的引导力强于CER:(2)依据EG两步法得到EUA期货与现货之间存在长期协整关系,但是CER期货与现货之间尚未建立起长期协整关系;(3)通过EUA期货与现货长期均衡模型与误差修正模型,得出EUA期货对现货市场具备价格发现的功能,并且当出现短期偏离均衡的现象时,误差修正项会通过正向作用,使其回到均衡。

We taking the third stage of the development of European Union carbon futures as the research object, choosing 499 sets of sample data from September 1, 2016 to July 31, 2018. It is concluded 3 points. Through stationarity test, Granger causality test, cointegration test and error correction model,we get the result that:(1) CER carbon futures and spot prices have relationship with each other, EUA carbon futures unilaterally lead EUA spot prices. Moreover, EUA futures have stronger guidance on spot prices than CER.(2)Through EG two-step method, the co-integration has relationship between EUA futures and spot, but the long-term equilibrium relationship between CER futures and spot has not yet been established.(3) Through EUA futures and spot long-term equilibrium model and error correction model, it is concluded that EUA futures have the function of price discovery in the spot market, and short-term deviation is equal. In the case of balance, the error correction term will return to equilibrium through a positive effect. The conclusion drawn from the study of EU carbon futures market can provide reference for the long-term development of China's carbon futures market.