碳排放权交易市场与新能源市场的动态相依关系研究:以我国碳市场试点为例

Study on the Dynamic Dependence between Carbon Emission Trading Market and New Energy Market:A Case Study of China's Carbon Market Pilot

碳排放权交易机制可以通过配额价格为新能源公司提供明确市场信号而影响其市场收益,同时新能源产业的发展也会影响碳市场的有效运行。为了从理论上揭示碳市场和新能源市场间的相依关系,分析碳市场的引入对传统能源市场和新能源市场产品市场均衡变化的影响,提出两市场资产价格“呈现正向相依关系”的理论假设。构建Copula-GARCH模型和DCC-GARCH模型刻画与分析碳市场和新能源市场间的动态相依模式。同时运用我国深圳试点碳市场的配额现货价格与国证新能源指数开展相关的实证分析,其结果在验证理论假设的同时,还发现:随着国家在控制温室气体排放与支持新能源产业发展的政策力度不断加强即市场信息利好时,碳市场与新能源市场间将呈现更强的动态相依性。由此认为政策制定者要更加注重市场化减排机制与新能源产业政策间的协调性,关注碳市场和新能源市场间资产价格的联动关系,充分发挥碳市场的价格发现功能,为新能源产业发展提供有效的市场信息,以保证节能减排目标的实现。

Carbon emission trading scheme can provide the right market signals to the renewable energy companies and then influence their market benefits.Meanwhile,the development of renewable energy sector can also affect the operation of carbon market.In order to reveal the dependence structure of the markets,we first provide a brief microeconomic analysis on the relationship between the carbon emissions trading market and the renewable energy market,which shows that there exists positive dependence between asset-prices of the two markets.Then we build a classical Copula-GARCH model and a DCC GARCH model to describe both the static and dynamic dependence structure.Meanwhile the prices of the carbon allowances in Shenzhen carbon emission trading pilots and the China New Energy Index(CNEI)are chosen to give the respective empirical analysis.The corresponding results lend support to our statement about the positive dependence structure between the two asset markets.Furthermore,the dynamic SIC Copula-GARCH model can be adopted to better characterize the asymmetric dependence structure:the degree of the correlation between the two markets has strengthened when there is some good news;for example,the governments have committed to improve the design of the carbon markets in order to curb the greenhouse gas emissions as well as to support the development of the renewable energy.Then we suggest that policymakers pay attention to the coordination between market-based emission reduction schemes,renewable energy industrial policies and the movement between asset-prices of the two markets in order to strengthen theprice discovery in the carbon market,which can provide efficient market information for the renewable energy sector and then motivate them to fulfil the emission reduction targets.