中国碳金融市场发展机制研究

发布时间：2018-01-16 10:48

本文关键词：中国碳金融市场发展机制研究　出处：《东北林业大学》2013年博士论文　论文类型：学位论文

【摘要】：国际碳金融市场发展迅速有超过石油市场成为最大国际交易市场的趋势。中国作为发展中国家是全球最大的碳交易项目清洁发展机制(CDM)的供给方,但受到国际买方市场、自身发展能力与水平的限制,缺乏话语权与定价权,获利微乎其微,损害了中国项目业主的权益。发展中国碳金融市场,获取定价的权力,提高交易能力,探索建立碳金融市场促进环境与经济协调发展机制,加快经济发展方式转变和产业结构升级,提高本土项目业主在国际市场的议价权能力,谋求金融创新发展,势在必行。因此,本文以发展中国碳金融市场为背景,以建立碳金融市场发展机制为切入点,探索建立中国碳金融市场理论架构与可操作性的运行机制,以期为中国碳金融市场发展提供理论支撑和现实依据。本文首先系统梳理与分析了国内外碳金融市场研究文献,得出了对我国发展碳金融市场的经验与启示,在实地走访调研基础上,分析中国碳金融市场发展现状,指出其存在的主要问题,运用SWOT战略分析法将碳金融市场按内部影响因素和外部影响因素进行立体化区分,分别对市场4个方面的情况进行关联分析。研究发现：中国发展碳金融市场应选择优势机会策略(SO)和优势威胁策略(ST)的战略发展方向,而市场机制的有效运行是实现这一战略目标的关键。其次,在SWOT战略分析基础上,构建了中国碳金融市场发展机制的总体框架。提出了框架设计的指导思想、原则、结构、功能,并进一步将发展机制细分为供求机制、价格机制、竞争机制、风险机制和监管机制五个方面。依据论文研究的目的与思路提出价格机制是整个市场机制的核心,风险机制是市场的约束机制,以其建立中国碳金融市场的运行机制。再次,建立了差分自回归移动平均模型(ARIMA)预测核证减排量(CER)期货市场的价格走势,为实现中国碳金融市场的合理定价提供技术支持。研究发现：CER期货价格序列存在一阶单位根,是非平稳的时间序列,非平稳时间序列在各个时间点上的随机规律是不同的,难以通过序列已知的信息去掌握时间序列整体上的随机性。而ARIMA模型恰好能解决这一难题,因此将该模型引入CER期货市场,通过建立模型估计的预测值与真实值比较,ARIMA模型能够很好地对CER期货价格进行拟合。CER碳市场不存在价格发现功能,不能通过期货理论为CER碳市场进行合理定价；EUA期货市场和CER期货市场短期内存在价格发现功能,可以通过期货理论为CER期货市场进行合理定价。这一结论证明碳金融市场引入期货定价机制,可以为中国CDM项目业主在国际碳市场争取利益、提升盈利空间,实现金融市场创新发展,实现定价权提供帮助。第四,运用广义误差分布模型(GED)描述CER期货市场是尖峰厚尾的波动特征,并以此特征建立广义自回归条件异方差—在险值模型(GARCH-VaR)能够比国际上通用的在险值模型(VaR)更准确地描述CER期货市场的风险值。这一研究工作可以降低市场参与者的投资风险,帮助中国碳金融市场稳定发展,尽早实现与国际碳金融市场接轨,融入国际碳金融市场竞争当中。将VaR引入碳市场风险度量中,提出了有效描述碳市场风险的手段。研究发现：GED分布可以较好拟合CER期货收益率尖峰厚尾特征；市场价格下跌的风险大于价格上涨的风险；GARCH-VaR模型提高了中国碳金融市场风险估值的准确性,可以帮助中国更好地开展碳金融市场,为中国碳金融市场风险度量提供理论支持。最后论文提出建立中国碳金融市场发展机制的政策保障体系。中国碳金融市场发展与完善是一项系统工程,本文从碳金融市场价格波动和风险度量进行认识和理解,为碳金融市场价格预测、期货定价功能、风险度量提供技术支持,为碳金融市场参与者进行决策提供参考依据。
[Abstract]:The development of international carbon finance market quickly over the oil market has become the biggest international trading market trend. Chinese as a developing country is the world's largest carbon trading project clean development mechanism (CDM) of the supply side, but by the international buyer's market, its development ability and level of restrictions, the lack of voice and pricing, very little profit, damage Chinese project owners. China development of carbon finance market, obtain the pricing power, improve the capacity of the market, explore the establishment of carbon finance market mechanism to promote the coordinated development of economy and environment, accelerate the upgrading of economic development mode and industrial structure, improve the local project owners bargaining power in the international market, to seek the development of financial innovation, it is imperative. Therefore, based on the development of China carbon financial market as the background, in order to establish the mechanism of development of carbon finance market as the starting point, explore the establishment of Chinese carbon gold In order to provide theoretical support and realistic basis for the development of China's carbon financial market, the theoretical framework and operational mechanism of the market are integrated.
This paper first analyzes the domestic and international carbon finance market research literature, the experience and Enlightenment of the development of carbon finance market in China, the field investigation based on the analysis of the development status Chinese carbon financial market, the article points out the main problems, using SWOT strategy analysis method according to the three-dimensional carbon financial market the internal factors and external factors between the 4 aspects of the market situation for the correlation analysis. Study found that: the development of carbon finance market Chinese should choose advantage opportunity strategy (SO) and (ST) the threat advantage strategy strategic development direction, and the effective operation of the market mechanism is the key strategy to achieve this goal.
Secondly, in the SWOT strategy on the basis of the analysis, build the overall framework of the development mechanism of China carbon finance market. Put forward the guiding ideology, framework design principle, structure, function, and further subdivided into the development mechanism of supply and demand mechanism, price mechanism, competition mechanism, five aspects of risk mechanism and supervision mechanism. The price mechanism is the core of the market mechanism based on the purpose and methods of the study, the risk mechanism is the market mechanism, the operating mechanism of Chinese carbon finance market.
Again, the establishment of a differential autoregressive moving average model (ARIMA) forecast CERs (CER) futures market price trend, provide technical support for the realization of reasonable pricing China carbon finance market. It is found that the CER futures price series has a unit root order, time series is non-stationary, non random rules stationary time series at each time point is different, it is difficult to pass through a sequence of known information to master the stochastic time series on the whole. While the ARIMA model can solve this problem, the CER model into the futures market, through the establishment of forecasting model to estimate the value and the real value, ARIMA model can be good fitting.CER carbon market on the CER futures price is the price discovery function, no reasonable pricing for the CER carbon market through futures theory; EUA futures and CER futures market in the short-term memory The price discovery function, through the reasonable theory of futures pricing for the CER futures market. This conclusion proves that the introduction of futures pricing mechanism of carbon finance market, can China CDM project owners in the international carbon market interests, enhance profitability, achieve financial market innovation and development, realize the pricing right to offer help.
Fourth, using the generalized error distribution model (GED) to describe the CER futures market volatility is leptokurtic, and the characteristics of the establishment of the generalized autoregressive conditional heteroskedasticity model - value at risk (GARCH-VaR) than the universal value at risk (VaR) model more accurately describe the risk of CER futures market value. This research work can reduce the market risk of investment, to help stabilize the development Chinese carbon finance market, as soon as possible in line with the international carbon finance market, into the international carbon finance market competition. VaR is introduced into the carbon market risk measurement, and puts forward some effective description of carbon market risks. It is found that the GED distribution can better fit CER futures yield leptokurtic characteristics; the risk of market prices is greater than the risk of price increases; the GARCH-VaR model to improve the accuracy of the risk of carbon finance market valuation Chinese, can It helps China to better carry out the carbon financial market and provide theoretical support for the risk measurement of China's carbon financial market.
Finally the paper put forward the policy security system and the establishment of development mechanism China carbon finance market. The development and perfection of China carbon finance market is a system engineering, this paper from the price of carbon financial market volatility and risk measure of awareness and understanding, prediction for the price of carbon finance market, futures pricing function, risk measurement to provide technical support, to provide reference for carbon financial market participants to make decision.

【学位授予单位】：东北林业大学
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F832.5;X196

【参考文献】