上海碳排放权配额价格影响因素——基于VAR模型

Empirical Study on Factors Influencing the Price of Shanghai Carbon Emission Allowances—Based on VAR Model

碳市场的有效建立对于我国达成“双碳”目标至关重要,然而碳排放权配额价格影响因素众多。本文采用向量自回归模型(VAR),以上海碳排放权配额(SHEA)成交均价为研究对象,从能源价格、宏观经济状况、环境因素、公众情绪四个方面分别选取相应指标进行研究。结果表明,能源价格类影响因素对上海碳排放权配额价格的影响均为正向;宏观经济状况方面,沪深300指数对上海碳排放权配额价格表现为先呈现负面影响,后转为正面影响,汇率则相反,首先呈现正面影响,而后转负;环境因素未能通过格兰杰因果检验,即与被解释变量不存在因果关系;公众情绪对上海碳排放权配额价格波动影响较为明显,且时间较长。本文实证结果可以帮助投资者正确认识碳排放权配额价格变化,为政策制定者提供参考,以及为进一步构建反映真实、全面信息的全国碳排放权交易市场提供依据。

It is crucial for China to achieve its“dual carbon”goals through the establishment of an efficient carbon market mechanism.However,there are many factors that influence the price of carbon emission quotas.This study utilizes a Vector Autoregressive(VAR)model to investigate the average transaction price of Shanghai Emission Allowances(SHEA)from four aspects,energy prices,macroeconomic conditions,environmental factors,and public sentiment.The results indicate that energy price-related factors all have a positive impact on the price of SHEA;Concerning macroeconomic conditions,CSI 300 Index initially has a negative impact on the price of SHEA,which later turns positive,while the exchange rate shows the opposite trend,starting with a positive impact and then turning negative;Environmental factors did not show causal relationships with the explained variable as per Granger causality tests;Public sentiment has a significant and long-lasting impact on the fluctuation of SHEA.The empirical results of this study can help investors understand the changes in carbon emission quota prices correctly,provide references for policymakers,and serve as a basis for further establishing a nationwide carbon emission trading market reflecting true and comprehensive information.