中国煤炭价格与碳排放权交易价格的传导路径研究

Research on the transmission path between China’s coal price and carbon emission rights trading price

碳市场作为新兴市场易受能源价格因素干扰,在“双碳”目标下研究煤炭价格与碳排放权交易价格(以下简称为碳价)的传导路径,有利于碳市场的健康运行并助力其发挥减排作用。在梳理煤炭价格与碳价传导机理的基础上,利用DCC-GARCH模型揭示煤炭指数与碳价的动态关系,并运用VAR模型实证检验煤炭价格与碳价的传导路径及能源消费结构、能源效率与动态相关系数的因果关系。实证结果表明:煤炭价格与碳价存在显著动态相关性,并呈现复杂性和多变性;碳市场尚未充分发挥其创新激励效应,相较于能源利用效率,煤炭价格与碳价通过能源消费结构路径实现的传导更加显著;能源消费结构调整是动态相关系数变化的格兰杰原因,而能源利用效率改变则不是。

As an emerging market,the carbon market is vulnerable to the interference of energy price factors.Research on the transmission path between coal price and carbon emission rights trading price(hereinafter referred to as carbon price)under the dual carbon goal is conducive to the healthy operation of carbon trading market and its role in emission reduction.On the basis of analyzing the transmission mechanism between coal price and carbon price,this paper uses DCC-GARCH model to reveal the dynamic relationship between coal index and carbon price,and uses VAR model to empirically test the transmission path between coal price and carbon price,and the causality between energy consumption structure,energy efficiency and dynamic correlation coefficient.The empirical results show that there is a significant dynamic correlation between coal price and carbon price,and it presents complexity and variability.The carbon market has not made full use of its innovation incentive effect.Compared with energy use efficiency,the transmission between coal price and carbon price through the path of energy consumption structure is more significant.The adjustment of energy consumption structure is the Granger reason for the change of dynamic correlation coefficient,while the change of energy efficiency is not the reason.According to the research conclusion,this paper puts forward relevant countermeasures and suggestions.