我国碳市场的流动性困境问题

发布时间：2018-04-08 22:22

本文选题：碳市场　切入点：流动性　出处：《财经科学》2017年09期

【摘要】：基于面板VAR模型,本文测度了中国6个试点碳市场不同履约期下收益率、波动率与流动性三者间的动态互动关系,并探究履约窗口期下三者的关联特征与相互影响程度。结果表明,"收益率-波动率-流动性"三者间存在显著的动态关联性,其中,收益率对流动性影响较流动性自身滞后项的影响更大。在履约窗口期碳市场活跃度较高。价格调节机制能够有效影响市场流动性,解决流动性枯竭现象。由此,应运用价格管理机制改善市场流动性,减少对企业交易行为的干预,提高碳交易体系的市场化程度;应采用差异化的管理策略,提升企业碳资产管理水平,进而避免经济下行时,出现碳配额过剩问题。
[Abstract]:Based on the panel VAR model, this paper measures the dynamic interaction among the return rate, volatility and liquidity in the six pilot carbon markets in China under different performance periods, and probes into the correlation characteristics and the degree of interaction among them under the performance window.The results show that there is a significant dynamic correlation among the "rate-volatility and liquidity", in which the effect of return on liquidity is more significant than that on the lag term of liquidity itself.In the performance window period carbon market activity is high.Price regulation mechanism can effectively affect market liquidity and solve the phenomenon of liquidity depletion.Therefore, the price management mechanism should be used to improve the market liquidity, reduce the intervention to the enterprise trading behavior, improve the marketization of the carbon trading system, and adopt the differentiated management strategy to improve the management level of the enterprise carbon assets.Then avoid the economic downturn, there is a carbon quota surplus problem.
【作者单位】：吉林大学经济学院;
【基金】：教育部人文社会科学重点研究基地重大项目“中国国有金融服务实体经济研究”(16JJD790018) 国家社会科学基金项目“我国碳资产价差与企业减排的互动机制研究”(14BJY069) “吉林大学研究生创新基金资助项目”(2017066)的成果
【分类号】：F832.51;X196

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