上海碳远期市场与欧盟碳期货市场功能效率比较研究——对中国碳期货市场建设的启示

Comparative Research on the Functional Efficiency of Shanghai Carbon Forward Market and EU Carbon Futures Market——Implications for the Construction of China's Carbon Futures Market

碳期货市场的建设对于提升我国碳市场的运行效率和促进各行业低碳转型以及林业碳汇、可再生能源等低碳领域的发展具有重要意义。文章基于2017年1月至2023年4月上海碳远期市场与现货市场、欧盟碳期货市场与现货市场的日度价格数据,采用VEC-BEKK-GARCH模型对上海碳远期市场与现货市场、欧盟碳期货市场与现货市场之间的信息溢出效应进行比较分析,进一步扩展信息份额模型及套期保值分析方法,动态测度上海碳远期市场与欧盟碳期货市场的价格发现与套期保值功能。研究发现:(1)在上海碳远期市场与现货市场之间仅存在单向的溢出效应,上海碳远期市场的价格发现贡献度为18.94%,低于现货市场的贡献度,且在样本区间内具有显著波动性;而在欧盟碳期货市场与现货市场之间存在双向溢出效应,欧盟碳期货市场的价格发现贡献度为50.67%,接近于现货市场的贡献度,整体上波动较为平稳。(2)上海碳远期市场的套期保值效率为7.73%,也具有显著波动性;而欧盟碳期货市场的套期保值效率为95.87%,仅在样本区间内具有短期波动。文章深入分析了上海碳远期市场与欧盟碳期货市场效率间的差距,为碳期货市场效率研究提供了新的视角,为我国碳期货市场的建设提供科学参考。文章提出3点政策启示:(1)完善碳市场的基础制度,营造良好市场环境;(2)有序推进碳期货市场建设,提升碳定价效率;(3)引入多元市场主体,提高碳期货市场流动性。

The construction of carbon futures market is of great significance to improve the operational efficiency.of China's carbon market,promote the low-carbon transformation of various industries,and the development of low-carbon fields such as forestry carbon sink and renewable energy.Based on the daily price data of Shanghai carbon forward and spot market as well as EU carbon futures and spot market from January 2017 to April 2023,the article used the VEC-BEKK-GARCH model to compare and analyze the information spillover effect between Shanghai carbon forward market and spot market as well as EU carbon futures market and spot market,and further expanded the information share model and hedging analysis method,dynamically measured the price discovery and hedging functions in Shanghai carbon forward market and EU carbon futures market.The results showed that:(1)There was only one-way spillover effect between Shanghai carbon forward market and spot market,and the price discovery contribution of Shanghai carbon forward market was 18.94%,which was lower than the contribution of the spot market,and had significant volatility in the sample interval.However,there was twoway spillover effect between EU carbon futures market and spot market,and the price discovery contribution of EU carbon futures market was 50.67%,which was close to the contribution of the spot market and the overall volatility was relatively stable.(2)The average hedging efficiency of Shanghai carbon forward market was 7.73%,which also had significant volatility.The hedging efficiency of EU carbon futures market was 95.87%,which only had significant volatility in the sample interval.The article deeply analyzed the gap between the efficiency of Shanghai carbon forward market and EU carbon futures market,provided a new perspective for the study of the efficiency of carbon futures market,and provided a scientific reference for the construction of China's carbon futures market.It put forward three policy implications:(1)Improve the basic system of the carbon market and create a good market environment.(2)Orderly promote the construction of carbon futures market and improve the efficiency of carbon pricing.(3)Introduce multiple market entities to improve the liquidity of the carbon futures market.