国际碳排放交易市场的有效性研究：基于 CER期货市场的价格发现和联动效应分析

国际碳排放交易市场的有效性研究 基于CER期货市场的价格发现和联动效应分析*黄明皓 李永宁 肖 翔 ¸41清洁发展机制 CDM推动下形成的碳减排额度CER交易市场是国际碳排放交易市场发展和完善的重要基础b本文对CER期货市场的价格发现和套期保值功能进行了理论和实证分析,以此判断国际碳排放市场的有效性b通过Granger 检验,我们发现CER期货市场具有较好的短期价格发现功能,但其长期价格发现功能不明显b进一步研究CER市场和EUA市场的联动效应, SVAR模型检验结果显示短期内CER市场和EUA市场的现货和期货价格间存在相互影响,但长期而言, CER市场和EUA市场具有动态稳定性b1oMCER期货市场 价格发现 联动效应T€eº黄明皓,中国人民银行金融研究所博士后, 100800;李永宁,中国人民银行金融研究所博士后, 100800;肖 翔,中国人民银行金融研究所, 100800bÏmsË|F830 ÓDS M ’ A ÓcI| 1002- 8102201011- 0131- 07Ba„ ýk¿‚]SE‹ ©MÄ¥ ïa/ Œ £ Üaå N3 ©aZ¨ [ ¦ †b £ Ü i¥µs,òS¥h † “S„Å‚V › †M]b1997 M12µ1SErîi  rSEW¥ó† kÿÅ Joint Implement, JI ; Ø rSEÐZÏSE­W¥ b±ZÅ Clean Develop-ment M echanism, CDMb5Øûpç €6 L  ¬¹ù gÆÄ m , LC † oÄh † “S,i Ph †î KlÄbh † 2Å¥ 3°¤wî  † oŒ gÆ¥Z, † oŒ gÆ¿vŒ¥ð 3Á ÖÑ i 8 †b ƒ¥Ÿ÷V[s¹ vË gÆB [ ¥-¹¥ gÆ Allowance-based Market ,ö1 x ÐŒ †b8“ EU ETSaÏvæð 2¯ VŒ î NSWa ÅS¤Fâ ©Œ î CCX„‡S †bŒ8“©É› †b¸V ƒŒ¥ gÆ; [[ “¹¥h † Œ gÆ Project-based Market ,YV b±ZÅ CDM„ó† kÿÅ JI[  ðh †l¤h †¨Œ-, ¹¾Œ gÆÎVÉB„Ãs¹Œ gÆ„Œ gÆbN“,¿v †b ƒŒé¥HW‚]ÎV[s¹C Œ gÆ„ ù Œ gÆ;¿vŒ ŽŒ î 3V[s¹Œ îŒ gÆ„Æ“°¤Œ gÆb1312010 M»11 ù *¹ Óº}VT€¥Ð Œ4Ä,ÐT€ îýT†Êí1,Ó31µb ùî sžÏSp VªSÐÁI| 20100470442 ùbCDM[ “Ü‚£ª¤¥h † †ÊCER, JI[ “ÜV ª£ª¤¥h ††ÊERUbZÏSE•Ð¥ö1 ¿[ “¥ †bŒ gÆ, ¹´¤ÿi¥ ,ZÏSEÐrSE ]•Ð¥CDMŒ ûÃv– ‹ 6,À2008 MCDMŒ ÑVCDM[ “¥Œ,î¹ÇQ¿ xÝ †b ¥-Œ gÆ¥ † o»v †bŒ gÆbCDMŒö1É›CER¥C a ù „ ù ƒŒ, Œ9´ÑV260a Åí180a xíbCDM gÆá ÎZ¥ðyV[B²¹ 1CDM¥ ™ZV[¤µ p¥CERbÐCDM[ “³1ÜV ª£Œ¤CER‚],CDM gÆV[°¤¤ÜV ª£¥CERb 2CDM gÆV[¹   † oŒ gÆ¥çN ƒ„öî ƒbyëS dB¥Œ gÆ,[áS] CERB gÆ¥z-¹G,7yCER gÆ ]A›bqyáS¥CERC „ ù ŒgÆ,µæ¿ LC„› ÿh †¥ gÆÄÅ, LCCDM[ “¥„Bs Ûb] H,áSCER gÆ¥Z|™îCER¥ ¦ ö;Nì,4 6áSS †bŒ gÆ ¥çN ƒ, ¦ ö;SĵBç¥wîilbN“, CER gÆáS¥Z,Î|4 6ÏSS ©†TÏ¥ ‘ Êbö1•IÓD11£á5®Z­ ÏS ¥Ÿ¦¥ 9CGE ˜s6,5Á µùî62009 M»12 ùb21KÔa Ê ÿa£á5KÔhnÐh †3 ©¥Ü6Ðs6,5Ü6ùî62010 M»1 ùb31SýZùîϏ[5F5 † oÑ i 8h †Ø ‚O„³ZÃ6, 5Ü6ùî62009 M»3 ùb41¿ ¥Z5áS ùgÆNìCÿ ¥ L£s6, 5 275Ø ß ‚62002 M»5 ùb51¦ÖZa Œ  ü5Á µ²ß/ÏSŒ gÆC„ t ]6,5Ü6Ø ‚ÐÜ65Ø62009 M11 ùb61f öaZjaÛ35ÏS ùgÆÿ S•Y¥ L£ùî6,55Ø W¸62006 M»4 ùb71uÉÓ5áS ùgÆÐS ùgÆ1ósÐxœ_6,5ÏS ÈSÐ62004 M»5 ùb81 Alberola Emilie, Chlier Julien, Beno, Pricedrivers and structural breaks in European carbon prices 2005- 20071 Ener-gy Policy , Vol1 36, Iss1 2, February 2008, pp1 787- 797191 Benz Eva and T r™ck Stefan, M odeling the price dynamics of CO2 emission allowances1 E nergy Economic, Vol1 31, Iss1 1,January 2009, pp1 4- 151101 Bunn Derek1 and Fezzi Carlo, Interaction of European Carbon Trading and Energy Prices1 Fondazione Eni Enrico MatteiWorking Papers, 2007, Paper 1231111 Convery Frank J1 and Redmond Lukem, Mar ket and Pr ice Develop ments in the Eur op ean Union E missions T radingScheme1 Published by Oxford University Press on behalf of the Association of Environmental and Resource Economists, 2007112. Daskalakis George, Psychoyios Dimitris and Markellos Raphael N1 , Modeling CO2 emission allowance prices and deriva-tives Evidence from the European trading scheme1 Journal of Banking F inance, Vol1 33, Iss1 7, July 2009, pp1 1230- 12411131 Garnaut Ross, T he Garnaut Climate Change Review Final Report1 Commonwealth of Australia, 20081141 Grubb Michael, Neuhoff Karsten, Allocation and competitiveness in the EU emissions trading scheme policy overview1Climate Policy , 2006, 6, pp. 7- 301151 Houbert, K1, and A1 De Dominicis, Trading in the rain Rainfall and European power sector emissions1 Research ReportNo1 9, France, Climate T ask Force Caisse des Depots, June 20061161 Murray1 Brian C1 , Newell Richard G1 , and Pizer William A1, Balancing Cost and Emissions Certainty An Allowance Re-serve for Cap-and-T rade1 Review of Environmental Economics and P olicy , 2009, pp1 1- 201171 Seifert Jan, U hrig- Homburg Marliese and Wagner Michael, Dynamic behavior of CO2 spot prices1 J our nal of Environ-mental Economics and Management , Vol1 56, Iss. 2, September 2008, pp1 180- 1941181 Stern, Nicholas, The Economics of Climate Change1 A merican Economic R eview, 98 2 , 2008, pp1 1- 371责任编辑原 宏1372010 M»11 ù