基于小波多分辨率的中国碳排放权市场价格波动性研究

Research on volatility of China's carbon market based on wavelet multiresolution

中国湖北、上海、深圳碳试点市场作为创建时间最早的一批试点市场,不仅市场表现较好,而且交易量、交易额在各试点中排名靠前.由此选取这三家市场的现货收盘价为样本,运用小波多分辨率分析方法进行分解,剔除时间序列中存在的干扰信息;在不同尺度上对收益率波动成分的动态特征进行剖析,进而捕捉多尺度特性和市场丢失的信息.并与欧盟碳排放体系的波动特征进行比较,解释了这三家试点市场收益率的短期波动,长期趋势以及与欧洲碳市场之间的差异.对比发现:中国碳排放权市场交易价格受交易政策、监督机制、成交量和市场参与意愿等因素的制约,表现出波动周期性不强、震荡幅度大、波动性表现较差、价格风险较大和市场活跃度不高等特征.从而提出了中国应加强市场制度与监督机制建设,丰富碳金融产品,提高市场参与主体活跃度,加强市场信息披露,从而降低市场风险的对策建议.

Hubei,Shanghai,and Shenzhen carbon pilot markets,as the earliest pilot markets,not only performed well in the market,but also ranked first in terms of trading volume and trading volume.Therefore,the spot closing prices of these three markets are selected as samples,and the wavelet multi-resolution analysis method is used to decompose to remove the interference information in the time series.The dynamic characteristics of the fluctuation components of the yield are analyzed at different scales to capture multiple scale characteristics and market missing information.The comparison with the fluctuation characteristics of the EU carbon emissions system explained the short-term fluctuations,long-term trends,and differences with the European carbon market of the three pilot market rates of return.The comparison found that the trading price of China's carbon emission rights market is subject to factors such as trading policies,monitoring mechanisms,trading volume,and willingness to participate in the market.Market activity is not high.Therefore,China puts forward countermeasures to strengthen market system construction and supervision,enrich the diversity of carbon financial products,increase the activeness of market participants,and strengthen market information disclosure,thereby reducing market risks.