基于随机波动模型的碳价格波动性研究

发布时间：2018-03-16 02:05

本文选题：碳排放权　切入点：随机波动模型　出处：《安徽工程大学》2013年硕士论文　论文类型：学位论文

【摘要】：随着国际碳交易市场的不断发展,越来越多的国家参与其中,为占据碳交易市场的主导地位,定价权成了各国之间争夺的焦点。与国际市场相比,我国碳交易市场仍处于起步阶段,碳排放权交易价格不合理,碳交易机制欠完善。尽管我国在国际碳排放交易市场中占据很大份额,却始终只是扮演廉价的CER出口商的角色,没有定价权。发挥碳市场的价格发现功能,市场价格充分体现碳排放权属性是实现低碳经济的充要条件。因此,碳排放权定价问题是碳交易市场形成与发展的关键所在。金融市场理论表明,一个成熟的金融市场,价格回归其长期均衡价格是必然的。鉴于此,本文从研究碳排放权价格波动规律入手,对碳交易价格进行深入分析,并予以实证,洞悉国际碳排放权价格的波动规律,结合我国碳交易市场特征,借鉴国际碳交易市场运作的成功经验提出相关政策建议,籍以完善我国碳排放市场的交易体系。本文首先基于碳排放权虚拟性、权益性、政策性、价格波动性的特征,从金融市场视角分析碳排放权价格的影响因素：一级市场中,主要表现为减排目标、减排技术、管理成本以及市场风险等；二级市场中,主要表现为能源价格、预测价格水平等,并详细分析了碳排放权价格波动性的一些特征事实。然后,基于标准的随机波动模型提出了一种以贝叶斯分析为基础的区制转移随机波动模型估计的MCMC参数估计方法,并运用此方法对欧盟碳排放权交易市场价格的波动性予以实证分析。结果表明,由于受到市场有效性的限制,国际碳市场在短期内不具有均值回归特征。但是,随着国际政策和相关市场机制的不断完善,国际碳市场价格回归其长期均衡价格是必然的。最后,从碳排放权期货交易市场、碳排放权价值估值方法、碳交易风险管理体系和碳金融衍生品交易市场等方面提出建议,籍以完善我国碳排放市场的交易体系,提高我国在国际碳排放权交易市场中的定价权地位。本文的主要创新点：1、研究方法。目前,关于碳交易市场价格的研究虽然已经开始,但是就国内外已有的研究成果来看,大多都集中在定性研究阶段。本文在基于随机波动模型定性分析碳排放权交易价格波动性特征之后,运用欧盟碳排放权交易市场的价格数据予以实证,进一步提炼碳排放权价格的波动性特征。 2、模型参数估计方法。隐含潜在状态变量模型的参数估计一直是学术界研究的焦点,本文运用MCMC方法对隐含潜在状态变量的随机波动模型进行参数估计,有效地解决了潜在状态变量的滤波和预测问题。
[Abstract]:With the continuous development of the international carbon trading market, more and more countries participate in it. In order to occupy the dominant position of the carbon trading market, pricing power has become the focus of contention among countries. China's carbon trading market is still in its infancy, the carbon emissions trading price is unreasonable and the carbon trading mechanism is imperfect. Although China occupies a large share of the international carbon trading market, it has always played the role of cheap CER exporters. There is no pricing power. It is a necessary and sufficient condition to realize low carbon economy by giving full play to the price discovery function of carbon market and fully reflecting the attribute of carbon emission right. The pricing of carbon emission rights is the key to the formation and development of carbon trading market. Financial market theory shows that it is inevitable for a mature financial market to return to its long-term equilibrium price. Starting with the study of the price fluctuation of carbon emission rights, this paper analyzes the price of carbon trading in depth, and gives empirical evidence to understand the fluctuation law of international carbon emission rights price, combined with the characteristics of carbon trading market in China. Based on the successful experience of international carbon trading market, this paper puts forward relevant policy suggestions in order to perfect the trading system of China's carbon emissions market. Based on the characteristics of fictitious carbon emission rights, equity, policy and price volatility, this paper first analyzes the influencing factors of carbon emission rights price from the perspective of financial market: in the primary market, the main performance is emission reduction targets, emission reduction technology, In the secondary market, the price of energy and the price level are predicted, and some characteristic facts of the price volatility of carbon emission rights are analyzed in detail. Based on the standard stochastic volatility model, a MCMC parameter estimation method based on Bayesian analysis is proposed. This method is used to analyze the volatility of carbon emissions trading market price in EU. The results show that the international carbon market does not have the characteristics of mean regression in the short term due to the limitation of market effectiveness. With the continuous improvement of international policies and relevant market mechanisms, it is inevitable for the international carbon market price to return to its long-term equilibrium price. In order to perfect the trading system of China's carbon emission market and improve the position of pricing power in the international carbon emissions trading market, the paper puts forward some suggestions on carbon trading risk management system and carbon financial derivatives trading market. The main innovation of this paper is 1: 1, the research method. At present, although the research on the price of carbon trading market has already begun, but from the point of view of the existing research results at home and abroad, Most of them are focused on qualitative research stage. After qualitative analysis of price volatility characteristics of carbon emissions trading based on stochastic volatility model, this paper uses the price data of European Union carbon emissions trading market to demonstrate. Further refine the price volatility characteristics of carbon emission rights. 2. Parameter estimation method of model. Parameter estimation of latent state variable model has been the focus of academic research. In this paper, MCMC method is used to estimate the parameter of stochastic wave model with hidden potential state variable. The problem of filtering and prediction of potential state variables is solved effectively.
【学位授予单位】：安徽工程大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F831.5;F224

【引证文献】