碳排放权配额期货价格研究

发布时间：2018-05-04 00:36

本文选题：碳期货 + 跨期合约　；参考：《哈尔滨工业大学》2012年硕士论文

【摘要】：在规模日益扩大的碳交易市场中，碳期货占据很大的市场份额，并且在套期保值和价格发现方面有重大作用。目前，国内外学者对碳交易市场中的现货及衍生品做了大量工作，针对碳排放的现货定价以及相应的衍生品定价进行了深入的分析研究。但是对于不同阶段中的单期碳期货合约和跨期碳期货合约进行的对比研究较少。由于欧盟关于碳交易的政策的改变和宏观经济形势的变动导致在不同阶段的单期碳期货合约和跨期碳期货合约表现出不同的性质，本文参照普通商品期货合约的期限结构理论和协整理论对碳交易市场中的单期合约和跨期合约进行分析。针对单期合约和跨期合约，本文主要从静态和动态两个角度对其进行研究。静态分析主要从时间序列的平稳性、与现货价格的协整性以及格兰杰检验三个角度进行设计分析。动态研究分析指在此基础上引入持有成本模型和改进的二因素期货定价模型来对两阶段中的单期合约和跨期合约的期限结构进行分析。本文选取的数据来自欧洲能源交易所，经过Matlab和Eviews软件对数据处理之后得出：在进行期货价格序列与现货价格序列的协整性检时发现单期合约较跨期合约表现出了更为优越的特性，虽然在5%的水平下二者都表现出了与现货价格序列长期均衡的性质，但是在1%的水平下跨期合约不再具有该特性，仅单期合约依然表现出了与现货价格的协整性。其次，对于单期合约而言使用单因素的持有成本模型可以比较优良的模拟期货合约的期限结构，但是对于跨期合约而言，该模型模拟的误差相对单期合约而言有明显的放大。通过引入随机便利收益这一变量之后，所推导出的二因素模型很好的拟合了期货的期限结构，，模型所产生的理论价格与实际交易价格之间的误差大幅度缩小。最后，通过纵向对比两个阶段的分析结果发现经过第一阶段的试验期，欧盟排放权交易体系进入第二阶段之后市场的运行效率有了提高，市场运行更为成熟。
[Abstract]:In the expanding carbon trading market, carbon futures occupy a large market share and play an important role in hedging and price discovery. At present, scholars at home and abroad have done a lot of work on spot and derivatives in carbon trading market, and have carried out in-depth analysis and research on spot pricing of carbon emissions and corresponding derivatives pricing. However, there are few comparative studies on single-period carbon futures contracts and cross-term carbon futures contracts in different stages. As a result of the changes in EU policy on carbon trading and changes in the macroeconomic situation, single-period carbon futures contracts at different stages and interterm carbon futures contracts show different nature. Referring to the term structure theory and cointegration theory of general commodity futures contracts, this paper analyzes the single-period contracts and inter-term contracts in the carbon trading market. In this paper, single-term contract and cross-term contract are studied from static and dynamic aspects. Static analysis mainly from the time series stability, and spot price cointegration and Granger test design analysis. Dynamic research and analysis refers to the introduction of the holding cost model and the improved two-factor futures pricing model to analyze the term structure of single-period contracts and inter-term contracts in two stages. The data selected in this paper are from the European Energy Exchange, After processing the data by Matlab and Eviews software, it is concluded that the single-period contract shows more superior characteristics than the intertemporal contract when the futures price sequence and spot price sequence are cointegrated. Although both of them show long-term equilibrium with spot price sequence at 5% level, but at 1% level, cross-term contracts no longer have this property, only single-period contracts still show cointegration with spot prices. Secondly, the single-factor holding cost model can be used to simulate the term structure of futures contracts, but for intertemporal contracts, the error of the model is obviously enlarged compared with single-period contracts. By introducing the variable of stochastic convenient return, the two-factor model is developed to fit the term structure of futures well, and the error between the theoretical price and the actual transaction price is greatly reduced. Finally, through the longitudinal comparison of the results of the two stages, it is found that after the first stage of the trial period, the market efficiency has been improved and the market operation is more mature after the EU emissions trading system enters the second stage.
【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F831.5;F205

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