中国区域碳排放权价格影响因素的研究——基于自适应Lasso方法

Factors Impacting on the Price of China's Regional Carbon Emissions Based on Adaptive Lasso Method

中国区域碳排放权交易自2013年正式启动,至今发展仅有近一年的时间,文章以深圳排放权交易所公布的碳配额价格为研究对象,考虑国际碳价、国内外经济状况、国内外能源价格和汇率四个维度共13个影响因素,以自适应Lasso方法进行降维和参数估计,并与逐步回归作比较。研究发现:国内区域碳价受欧元汇率的影响最大,其次是国内的石油价格;国内经济和欧洲经济状况对国内区域碳价有正向影响;而国际碳价与国内区域碳价之间的联系较弱。

Since China's regional carbon emissions trading officially launched in 2013,it has developed only one year and the marketization degree awaits improvement. The exploration of influence factors of its carbon asset prices would promote the breadth,depth,and activity of carbon trading. This paper studied the prices of carbon allowance published by Shenzhen Emissions Exchange which is the first emissions exchange of China. We considered a total of 13 factors from several aspects such as international carbon price,economic situation and energy prices at home and abroad and exchange rates. The adaptive Lasso method is applied for variable selection and parameter estimation with the stepwise regression method as comparison. We found that the euro exchange rate had a biggest impact on the domestic carbon price,and then the domestic oil price. The domestic and European economy have a positive effect on domestic regional carbon price,whilst the US economy is showing a negative impact. The connection of the carbon price between domestic and international is weak. These conclusions above may be helpful to enterprise and government when they are in the presence of carbon emissions trading market in China.