我国碳排放价格与煤炭期货价格的传导机制研究

Research on Conduction Mechanism between Carbon Price and Coal Future Price in China

煤炭消费是我国碳排放的主要来源,煤炭市场和碳排放权交易市场会互相影响,研究二者的价格传导对于实施减碳政策和实现碳达峰目标具有重要意义。基于湖北碳排放权价格和动力煤期货价格,运用VEC模型、脉冲响应和方差分解等方法,初步分析了碳排放价格与煤炭期货价格的传导机制,然后运用BEKK-GARCH模型和信息份额模型,对价格传导过程中二者的贡献度进行精确度量,并分析其走势及影响因素。研究发现:碳排放价格和煤炭期货价格长期具有均衡关系,短期也会互相影响,但碳排放价格的贡献度远小于煤炭期货价格,并且与配额总量负相关,与碳市场成交量和参与的企业家数正相关。因此,在实施减碳政策过程中,要高度重视煤炭期货价格走势,合理控制碳排放总量,并通过进一步活跃市场和扩大参与企业数量来提高市场效率,充分发挥资源配置功能,助力碳达峰目标的实现。

Coal consumption is the main source of carbon emission in China,so there is a mutual influence between the coal market and carbon market,and research on the conduction mechanism between carbon price and coal price has great significance for carbon reduction policy and carbon peak target.Taking carbon price in Hubei Emission Exchange and thermal coal future price,this paper analyses their price conduction mechanism by VEC model,impulse response and variance decomposition,and measures their contribution in price conduction process accurately,by BEKK-GARCH model and Information Share model.Furthermore,carbon’s contribution trend and its influence factors are analyzed.The results show that there is a long term equilibrium relationship and short term interaction between carbon price and coal future price,but carbon’s contribution is much less than coal’s,and it is negatively related to the total carbon quota,positively related to carbon’s volume and enterprises’number.In the process of implementing carbon reduction policy,coal price must be emphasized,amount of carbon pollution should be control reasonably,and market efficiency can be improved by active market and increased enterprises.Then the carbon market can allocate resources efficiently and help peaking carbon emissions.