本文關鍵詞：中國碳金融市場發(fā)展機制研究　出處：《東北林業(yè)大學》2013年博士論文　論文類型：學位論文

  更多相關文章： 碳金融市場 市場機制 期貨定價 風險度量 GARCH-VaR模型

【摘要】：國際碳金融市場發(fā)展迅速有超過石油市場成為最大國際交易市場的趨勢。中國作為發(fā)展中國家是全球最大的碳交易項目清潔發(fā)展機制(CDM)的供給方,但受到國際買方市場、自身發(fā)展能力與水平的限制,缺乏話語權與定價權,獲利微乎其微,損害了中國項目業(yè)主的權益。發(fā)展中國碳金融市場,獲取定價的權力,提高交易能力,探索建立碳金融市場促進環(huán)境與經(jīng)濟協(xié)調(diào)發(fā)展機制,加快經(jīng)濟發(fā)展方式轉變和產(chǎn)業(yè)結構升級,提高本土項目業(yè)主在國際市場的議價權能力,謀求金融創(chuàng)新發(fā)展,勢在必行。因此,本文以發(fā)展中國碳金融市場為背景,以建立碳金融市場發(fā)展機制為切入點,探索建立中國碳金融市場理論架構與可操作性的運行機制,以期為中國碳金融市場發(fā)展提供理論支撐和現(xiàn)實依據(jù)。 本文首先系統(tǒng)梳理與分析了國內(nèi)外碳金融市場研究文獻,得出了對我國發(fā)展碳金融市場的經(jīng)驗與啟示,在實地走訪調(diào)研基礎上,分析中國碳金融市場發(fā)展現(xiàn)狀,指出其存在的主要問題,運用SWOT戰(zhàn)略分析法將碳金融市場按內(nèi)部影響因素和外部影響因素進行立體化區(qū)分,分別對市場4個方面的情況進行關聯(lián)分析。研究發(fā)現(xiàn)：中國發(fā)展碳金融市場應選擇優(yōu)勢機會策略(SO)和優(yōu)勢威脅策略(ST)的戰(zhàn)略發(fā)展方向,而市場機制的有效運行是實現(xiàn)這一戰(zhàn)略目標的關鍵。 其次,在SWOT戰(zhàn)略分析基礎上,構建了中國碳金融市場發(fā)展機制的總體框架。提出了框架設計的指導思想、原則、結構、功能,并進一步將發(fā)展機制細分為供求機制、價格機制、競爭機制、風險機制和監(jiān)管機制五個方面。依據(jù)論文研究的目的與思路提出價格機制是整個市場機制的核心,風險機制是市場的約束機制,以其建立中國碳金融市場的運行機制。 再次,建立了差分自回歸移動平均模型(ARIMA)預測核證減排量(CER)期貨市場的價格走勢,為實現(xiàn)中國碳金融市場的合理定價提供技術支持。研究發(fā)現(xiàn)：CER期貨價格序列存在一階單位根,是非平穩(wěn)的時間序列,非平穩(wěn)時間序列在各個時間點上的隨機規(guī)律是不同的,難以通過序列已知的信息去掌握時間序列整體上的隨機性。而ARIMA模型恰好能解決這一難題,因此將該模型引入CER期貨市場,通過建立模型估計的預測值與真實值比較,ARIMA模型能夠很好地對CER期貨價格進行擬合。CER碳市場不存在價格發(fā)現(xiàn)功能,不能通過期貨理論為CER碳市場進行合理定價；EUA期貨市場和CER期貨市場短期內(nèi)存在價格發(fā)現(xiàn)功能,可以通過期貨理論為CER期貨市場進行合理定價。這一結論證明碳金融市場引入期貨定價機制,可以為中國CDM項目業(yè)主在國際碳市場爭取利益、提升盈利空間,實現(xiàn)金融市場創(chuàng)新發(fā)展,實現(xiàn)定價權提供幫助。 第四,運用廣義誤差分布模型(GED)描述CER期貨市場是尖峰厚尾的波動特征,并以此特征建立廣義自回歸條件異方差—在險值模型(GARCH-VaR)能夠比國際上通用的在險值模型(VaR)更準確地描述CER期貨市場的風險值。這一研究工作可以降低市場參與者的投資風險,幫助中國碳金融市場穩(wěn)定發(fā)展,盡早實現(xiàn)與國際碳金融市場接軌,融入國際碳金融市場競爭當中。將VaR引入碳市場風險度量中,提出了有效描述碳市場風險的手段。研究發(fā)現(xiàn)：GED分布可以較好擬合CER期貨收益率尖峰厚尾特征；市場價格下跌的風險大于價格上漲的風險；GARCH-VaR模型提高了中國碳金融市場風險估值的準確性,可以幫助中國更好地開展碳金融市場,為中國碳金融市場風險度量提供理論支持。 最后論文提出建立中國碳金融市場發(fā)展機制的政策保障體系。中國碳金融市場發(fā)展與完善是一項系統(tǒng)工程,本文從碳金融市場價格波動和風險度量進行認識和理解,為碳金融市場價格預測、期貨定價功能、風險度量提供技術支持,為碳金融市場參與者進行決策提供參考依據(jù)。
[Abstract]:The development of international carbon finance market quickly over the oil market has become the biggest international trading market trend. Chinese as a developing country is the world's largest carbon trading project clean development mechanism (CDM) of the supply side, but by the international buyer's market, its development ability and level of restrictions, the lack of voice and pricing, very little profit, damage Chinese project owners. China development of carbon finance market, obtain the pricing power, improve the capacity of the market, explore the establishment of carbon finance market mechanism to promote the coordinated development of economy and environment, accelerate the upgrading of economic development mode and industrial structure, improve the local project owners bargaining power in the international market, to seek the development of financial innovation, it is imperative. Therefore, based on the development of China carbon financial market as the background, in order to establish the mechanism of development of carbon finance market as the starting point, explore the establishment of Chinese carbon gold In order to provide theoretical support and realistic basis for the development of China's carbon financial market, the theoretical framework and operational mechanism of the market are integrated.
This paper first analyzes the domestic and international carbon finance market research literature, the experience and Enlightenment of the development of carbon finance market in China, the field investigation based on the analysis of the development status Chinese carbon financial market, the article points out the main problems, using SWOT strategy analysis method according to the three-dimensional carbon financial market the internal factors and external factors between the 4 aspects of the market situation for the correlation analysis. Study found that: the development of carbon finance market Chinese should choose advantage opportunity strategy (SO) and (ST) the threat advantage strategy strategic development direction, and the effective operation of the market mechanism is the key strategy to achieve this goal.
Secondly, in the SWOT strategy on the basis of the analysis, build the overall framework of the development mechanism of China carbon finance market. Put forward the guiding ideology, framework design principle, structure, function, and further subdivided into the development mechanism of supply and demand mechanism, price mechanism, competition mechanism, five aspects of risk mechanism and supervision mechanism. The price mechanism is the core of the market mechanism based on the purpose and methods of the study, the risk mechanism is the market mechanism, the operating mechanism of Chinese carbon finance market.
Again, the establishment of a differential autoregressive moving average model (ARIMA) forecast CERs (CER) futures market price trend, provide technical support for the realization of reasonable pricing China carbon finance market. It is found that the CER futures price series has a unit root order, time series is non-stationary, non random rules stationary time series at each time point is different, it is difficult to pass through a sequence of known information to master the stochastic time series on the whole. While the ARIMA model can solve this problem, the CER model into the futures market, through the establishment of forecasting model to estimate the value and the real value, ARIMA model can be good fitting.CER carbon market on the CER futures price is the price discovery function, no reasonable pricing for the CER carbon market through futures theory; EUA futures and CER futures market in the short-term memory The price discovery function, through the reasonable theory of futures pricing for the CER futures market. This conclusion proves that the introduction of futures pricing mechanism of carbon finance market, can China CDM project owners in the international carbon market interests, enhance profitability, achieve financial market innovation and development, realize the pricing right to offer help.
Fourth, using the generalized error distribution model (GED) to describe the CER futures market volatility is leptokurtic, and the characteristics of the establishment of the generalized autoregressive conditional heteroskedasticity model - value at risk (GARCH-VaR) than the universal value at risk (VaR) model more accurately describe the risk of CER futures market value. This research work can reduce the market risk of investment, to help stabilize the development Chinese carbon finance market, as soon as possible in line with the international carbon finance market, into the international carbon finance market competition. VaR is introduced into the carbon market risk measurement, and puts forward some effective description of carbon market risks. It is found that the GED distribution can better fit CER futures yield leptokurtic characteristics; the risk of market prices is greater than the risk of price increases; the GARCH-VaR model to improve the accuracy of the risk of carbon finance market valuation Chinese, can It helps China to better carry out the carbon financial market and provide theoretical support for the risk measurement of China's carbon financial market.
Finally the paper put forward the policy security system and the establishment of development mechanism China carbon finance market. The development and perfection of China carbon finance market is a system engineering, this paper from the price of carbon financial market volatility and risk measure of awareness and understanding, prediction for the price of carbon finance market, futures pricing function, risk measurement to provide technical support, to provide reference for carbon financial market participants to make decision.

【學位授予單位】：東北林業(yè)大學
【學位級別】：博士
【學位授予年份】：2013
【分類號】：F832.5;X196

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