摘要
我国"十二五"规划提出建设自愿减排碳交易市场,良好的交易机制是碳交易市场健康发展的基础。为探求价格形成这一交易机制的核心问题,本文以自愿减排市场碳交易价格影响因素为研究对象,从供给、需求和市场影响三个方面进行了理论分析,并以美国芝加哥气候交易所为实证对象,采用面板回归和AR(1)-GARCH(1,1)模型分析方法,利用该交易所2003年～2010年碳金融工具的交易价格和相关影响因素的数据样本开展实证研究。研究发现,芝加哥气候交易所第一阶段合约配额价格影响因素主要是配额供需,且随时间推移不同年份产品的影响度有增强趋势。第二阶段能源价格影响最大,且天然气价格是最主要的影响因素。研究结果对我国自愿减排市场的建设提供了有益的参考。
China＇s twelfth five-year plan proposes that the establishment of volunteer emission reduction （VER） carbon market and good trading mechanism is required to underlie sustainable development of the market. This paper focuses on the influential factors of exchange price to discover price formation which is the core issue of exchange mechanism. First, theoretical analysis from three aspects including supply, demand and market effect is conducted. Then, the samples of carbon securities; exchange price （2003-- 2010） in the Chicago Climate Exchange （CCX） are used to check impact factors by AR（1）-GARCH （1,1） model with panel regression. The research result shows that the primary impact factor of pricing in phase I; is quota supply and demand, and there is an upward tendency in the effect degree of different products. In phase II energy price has a great effect and gas price becomes a significant factor. The result offers a good reference to the construction of voluntary carbon market in China.
出处
《中国管理科学》
CSSCI
北大核心
2013年第4期74-81,共8页
Chinese Journal of Management Science
基金
国家自然科学基金委创新群体资助项目(70921001)
教育部哲社重大攻关项目(10JZD0020)
国家自然科学基金资助项目(71271216)
