Carbon Prices’Space-time Heterogeneity
Xu Jia and Tan Xiujie
摘要：碳交易试点的价格波动研究对于全国碳市场的建立和碳市场的未来发展有重要的参考意义。本文基于集成经验模态分解（EEMD）方法，将中国碳交易量较高的6个碳交易试点价格分解成若干个独立的、不同周期的IMF分量和趋势项，并按照其高低频重构为原价格序列的高频分量、低频分量和长期趋势项，对比分析了6个碳交易试点价格波动影响因素的时空异质性。实证结果表明，随着试点市场运行时间由一年增加为两年，天津市、深圳市、上海市和广东省试点受到的来自较长周期的重大事件和市场内在机制的影响愈加显著；同时，不同空间的6个试点碳市场的价格波动受到市场短期波动、重大事件和市场内在机制三种不同周期因素的影响各不相同。整体上各试点均受到来自政策调整为代表的重大事件和市场内在机制的显著影响。这表明在碳市场运行初期，市场制度设计与政策调整对碳价格的波动有着显著的影响。
关键词 ： 碳交易试点, 价格波动, 时空异质性, EEMD
Abstract: Study on price volatility of carbon trading pilots has important reference value for the future development of carbon trading pilots and the establishment of a national carbon market. Based on the method of Ensemble Empirical Mode Decomposition (EEMD), the carbon prices of six China’s carbon trading pilots (excluding Chongqing pilot) are decomposed into several independent Intrinsic Mode Functions (IMF) with different time scales and a trend term. The obtained IMF sequences are then reorganized into three parts including high frequency component, low frequency component and the long-term trend to analyze the price influencing factors’space-time heterogeneity of six carbon trading pilots. Results show that, with the operation time of the pilots increasing from one year to two years, the pilots of Tianjin, Shenzhen, Shanghai and Guangdong suffered more significant influences from the major events with long periods and their internal market mechanisms. Meanwhile, the influence of factors with different periods on price fluctuations of six carbon trading pilots vary significantly through different district spaces. The influences of the internal mechanism of the market and significant events represented by policy adjustment as a whole are significant for all six carbon trading pilots. This indicates that in the early stage of the carbon market, market system design and policy adjustment have significant impact on carbon price fluctuations.
Keywords: Carbon Trading Pilot; Price Fluctuation; Space-time Heterogeneity; EEMD
DOI:10.19511/j.cnki.jee.2016.02.009