碳排放期货价格发现功能研究

发布时间：2018-01-07 04:15

本文关键词：碳排放期货价格发现功能研究　出处：《东北大学》2013年硕士论文　论文类型：学位论文

【摘要】：随着工业化进程的加快,二氧化碳的排放量逐渐增多。近年来,由于各个国家这种温室气体的过量排放,带来了全球变暖的问题,全球变暖严重影响人类的生活生产活动,为了控制全球二氧化碳排放总量,2005年联合国气候变化委员会通过了《京都议定书》,将二氧化碳作为一种可以进行交易的排放权商品,并且引入三种机制,其中,我国也是发展中国家唯一可以参与的就是清洁发展机制(CDM),产生的减排量为核证减排量(CER)。我国成为全球CDM最大供应国,但是,由于国内碳交易市场不完善,定价机制缺失,造成我国参与国际碳交易时的价格低廉的后果,一般商品的期货是具有价格发现功能的,即引导现货价格,本文探讨碳交易这种新型市场的期货是否也具有价格发现,从而看能否引导现货价格,为提高我国的碳交易定价权提供帮助。本文的主要工作如下： (1)对我国以及国际上目前清洁发展项目市场做了现状分析,分析结果认为我国碳交易定价缺乏话语权的主要原因是没有自己的期货市场以及没有充分利用期货价格发现功能； (2)构建以CER期货价格和现货价格为变量的向量自回归模型(VAR),利用格兰杰因果检验、协整检验,并且构建误差修正模型等； (3)利用欧盟气候交易所的数据,进行实证分析,结果表明,无论从短期还是长期看,CER期货价格和现货价格之间都存在着关联关系,并且期货价格的发现功能已经有所体现； (4)对我国尚未构建CER期货市场前如何利用国际碳交易期货市场提高定价权提出了相应的建议,并且说明构建我国CER期货市场的必要性,最后从几个方面对CER期货市场的构建提出了设想。
[Abstract]:With the acceleration of industrialization, carbon dioxide emissions are gradually increasing. In recent years, due to the excessive emissions of this greenhouse gas in various countries, the problem of global warming has been brought about. Global warming seriously affects human life and production activities. In order to control the total amount of global carbon dioxide emissions, the United Nations Climate change Committee adopted the Kyoto Protocol in 2005. Carbon dioxide as a tradable emission right commodity, and introduced into three mechanisms, China is also the only developing country can participate in the clean development mechanism (CDM). China has become the largest supplier of CDM in the world, but because of the imperfect domestic carbon trading market, the pricing mechanism is missing. As a result of the low price of China's participation in international carbon trading, the futures of general commodities have the function of price discovery, that is, to guide the spot price. This paper discusses whether carbon trading, a new type of futures market, also has price discovery, so as to see whether spot prices can be guided and help to improve the pricing power of carbon trading in China. The main work of this paper is as follows: 1) the present situation of clean development project market in China and in the world is analyzed. The results show that the main reasons for the lack of voice in carbon trading pricing in China are the lack of its own futures market and the lack of full use of the function of futures price discovery. (2) constructing the vector autoregressive model with CER futures price and spot price as variables, using Granger causality test, cointegration test and error correction model. The results show that there is a correlation between the futures price of CER and spot price in the short and long term. And the discovery function of futures price has been reflected; Finally, the author puts forward some suggestions on how to improve the pricing power of international carbon trading futures market before the construction of CER futures market in China, and explains the necessity of constructing China's CER futures market. Finally, this paper puts forward some ideas on the construction of CER futures market from several aspects.
【学位授予单位】：东北大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.5;F224;F205

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