碳价格影响因素及碳市场风险度量研究

Research on the Influencing Factors of Carbon Prices and the Risks of Carbon Markets

以广东省碳排放配额成交价为研究对象,运用向量自回归模型,分析该成交价与经济发展水平、国外碳价格、新能源价格等因素之间的动态互动机制,运用方差分解方法分析在一定滞后期内各因素对广东省碳排放配额成交价的变化贡献度。基于已求解的向量自回归模型,进一步得出经因子调整后的碳配额预测价格及其损益分布,并利用在险价值模型度量碳市场风险。本文得出以下结论:一是除受自身影响外,以CER期货价格为代表的国外碳价格对广东省碳排放配额成交价影响最大;二是基于预测的价格分布,估计在尾部概率为5%的水平下,持有广东省碳排放配额的VaR为14.23元。

Taking the transaction price of carbon emission allowances in Guangdong Province(GDEA)as the research object,this paper uses the Vector Auto-Regression(VAR)model to analyze the dynamic interaction mechanism between the transaction price and the level of economic development,foreign carbon prices,new energy prices and other factors.The contribution of various factors to the change in the transaction price of GDEA during a certain lag has been analyzed by the variance decomposition method.Based on the solved VAR model,this paper further obtains the forecast price of carbon allowances and their profit and loss distribution after adjustment of factors,and utilizes the Value at Risk(VaR)model to measure the risk of the carbon market.This paper principally draws the following conclusions:First,in addition to its own influence,foreign carbon prices represented by CER Futures prices have the largest impact on the transaction price of GDEA.Second,based on the forecast price distribution,it is estimated that the VaR for holding GDEA is 14.23 RMB at the level of 5%tail probability.