Analyzing the Impact Factors of the Carbon Future Prices in the EU ETS
Ai Ming，Wang Hailin，Wen Wukang and Pan Xunzhang
摘要：我国碳市场和碳金融体系建设正处于起步和探索阶段，对欧盟排放交易体系开展研究，可为我国碳市场建设提供一定借鉴经验。本文综合运用BP结构突变检验、多元ARMA回归以及DCC-GARCH模型，分析了2010-2016年间欧盟碳市场碳期货价格影响因素，以及碳期货价格与其他商品价格之间的联动效应。结果表明：欧债危机、欧盟是否延迟配额拍卖等政治事件均使得欧盟碳期货价格序列出现结构性突变；在2014年延迟拍卖政策公布之前，碳期货价格与电力转换变量之间不存在明显相关性，之后电力转换变量的一期滞后对碳期货价格开始产生显著影响；碳期货市场与能源和金融市场的价格波动之间存在一定联动效应，但总体而言并不明显。我国在建立和完善碳交易体系进程中，应注意建立完善的价格稳定机制，关注能源供需变动对碳价格影响，并提高风险管理水平。
关键词 ： 欧盟排放交易体系, 碳期货价格, 结构突变, DCC-GARCH模型
Abstract: China＇s carbon market and carbon financial system are being prepared and explored． Analyzing the European Union Emission Trading Scheme might shed some light on China developing carbon market． According to the literature， factors such as climate conditions，economic prosperities，energy prices and political events affect the carbon prices． This paper systematically applies the BP structural mutation test，the multivariate AＲMA regression and the DCC－GAＲCH model to analyze the impact factors of the carbon future prices in the EU ETS during 2010－ 2016，and explores the interaction between carbon future prices and other commodity prices． Ｒesults indicate that theEuropean debt crisis and the delayed allowance auction both caused structural changes in the future price series of the EU ETS． There is no obvious correlation between power conversion variables and carbon future prices before releasing the delayed auction in 2014， then the first－order lag of power conversion variables changes to have significant impacts on carbon future prices． The volatility modeling of the carbon future prices and factors shows that， the interaction of the price volatility between carbon future market and energy and financial markets，while partly existing，is overall not significant． In the process of developing the national ETS，the Chinese government is suggested to establish its thorough pricing stability mechanism，pay attention to the impacts of the dynamics of energy supply and demand on carbon prices，and promote the risk management skills．
Keywords: EU ETS; Carbon Future Price; DCC－GAＲCH Model
基金资助:国家自然科学基金青年项目“巴黎协定背景下国家自主贡献的评估、强化及影响研究”（71703167）和科技部国家重点研发计划课题“世界主要国家碳减排潜力与经济代价研究”（2017YFA0605302）
