碳市场风险及预期收益——欧盟排放贸易体系与清洁发展机制的比较分析

发布时间：2018-04-20 11:16

本文选题：欧盟排放贸易体系(EUETS) + 清洁发展机制(CDM)　；参考：《北京理工大学学报(社会科学版)》2013年01期

【摘要】：运用资本资产定价模型(CAPM)分别分析欧盟排放贸易体系(EU ETS)和清洁发展机制(CDM)市场风险,通过Zipf方法研究以上两个市场不同预期收益下碳价的波动行为。对比结果显示:EU ETS市场系统风险基本稳定在0.07%左右,但是CDM市场却明显分为两个阶段,2009年1月进入市场的期货合约(DEC09～DEC12)系统风险小于EU ETS市场,而2011年后进入市场的期货合约DEC13、DEC14系统风险大于EU ETS市场,且具有较高的市场敏感度;而非系统风险,CDM市场始终大于EU ETS市场。虽然两个市场的超额收益率都较低,低于0.02%,但相比之下,CDM市场投资者预期收益要更高。两个市场价格涨跌都存在非对称现象,下跌概率要高于上涨概率。在较低的预期收益下,碳价涨跌受到了市场机制、外在因素(经济危机、环境政策)的影响;在高预期收益率下,相对CDM市场,EU ETS市场价格涨跌更为混乱,投资者对碳价变动认知更不确定,风险较大。
[Abstract]:The capital asset pricing model (CAPM) is used to analyze the market risk of EU ETS and CDMs, and the volatility of carbon price under different expected returns in the two markets is studied by Zipf method. The results show that the system risk of the CDM market is basically stable at 0.07% or so, but the CDM market is obviously divided into two stages. The system risk of the futures contract DEC09 / DEC12 entered the market in January 2009 is lower than that in the EU ETS market. However, the system risk of DEC13 / DEC14 futures contract entering the market after 2011 is higher than that of EU ETS market and has a high market sensitivity, while the non-systematic risk market is always larger than EU ETS market. Although the excess yields in both markets were lower, below 0.02, investors in the CDM market expected higher returns than investors in the CDM market. There are asymmetric phenomena in both markets, the probability of decline is higher than the probability of rising. At lower expected returns, carbon prices are affected by market mechanisms, external factors (economic crisis, environmental policy), and at high expected yields, they are more chaotic than in the CDM market or EU ETS market. Investors to the carbon price change cognition is more uncertain, the risk is bigger.
【作者单位】：北京理工大学管理与经济学院能源与环境政策研究中心;
【基金】：国家自然科学基金资助项目(71273031) 2011年国家自然科学基金重大国际合作项目(71020107026)
【分类号】：X38;F755;F224

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