碳排放权交易价格的影响因素和结构性断点——基于湖北省碳排放交易所数据

Influencing Factors and Structural Breakpoints of Carbon Emission Trading Price

选取2014年5月14日至2018年4月25日的周数据,利用VAR模型和ECM模型实证检验了湖北省碳交易价格与能源价格、宏观经济、气候和国际碳排放市场价格之间的关系,并采用Bai-Perron内生结构突变方法检验湖北省碳交易价格是否出现结构性突变点。结果为极端天气和空气质量指数对碳交易价格的影响最为显著。煤炭价格和原油价格的升高均会推高碳交易价格,但系数较小。上证指数、工业指数和欧盟EUA期货价格对碳交易价格影响不大。表明湖北省碳交易价格对各影响因素反应不充分,碳交易与实体经济联系不紧密,传导机制不通畅。碳交易价格无法引导资源实现最优配置。湖北省在交易期间发生了一次内生结构突变,反映了突发性的政策事件对碳交易价格的影响。建议转变碳交易的主导机制,提高企业参与度,增强控排企业的碳交易风险意识,抵御重大政策性事件对碳交易价格的影响。

Selecting the weekly data from May 14,2014 to April 25,2018,using VAR model and ECM model,this paper empirically tests the relationship between carbon trading price of Hubei Province and energy price,macroeconomic situation,climate and international carbon emission market price.Bai-Perron endogenous structural mutation method is used to test whether structural mutation point appeared in Hubei carbon trading price.The results show that extreme weather and air quality index have the most significant impact on carbon price.The increase in coal prices and crude oil prices will push up the price of carbon,while the coefficient is small.Shanghai Composite Index,Industrial Index and EUA futures price have little effect on carbon price.It shows that the price of carbon trading in Hubei Province has not fully responded to the various factors,the relationship between carbon trading and real economy is not close,and the transmission mechanism is not smooth.Therefore,carbon prices can not lead to optimal allocation of resources.An occurrance of endogenous structural change during the transaction in Hubei Province reflects the impact of sudden policy events on carbon prices.It is proposed to change the leading mechanism of carbon trading and increase the participation of enterprises.We should enhance the risk awareness of carbon trading in control companies and resist the impact of major policy events on carbon prices.