本文關(guān)鍵詞：碳排放期貨價(jià)格發(fā)現(xiàn)功能研究　出處：《東北大學(xué)》2013年碩士論文　論文類(lèi)型：學(xué)位論文

  更多相關(guān)文章： CER 碳排放權(quán)交易 期貨市場(chǎng) 價(jià)格發(fā)現(xiàn)功能

【摘要】：隨著工業(yè)化進(jìn)程的加快,二氧化碳的排放量逐漸增多。近年來(lái),由于各個(gè)國(guó)家這種溫室氣體的過(guò)量排放,帶來(lái)了全球變暖的問(wèn)題,全球變暖嚴(yán)重影響人類(lèi)的生活生產(chǎn)活動(dòng),為了控制全球二氧化碳排放總量,2005年聯(lián)合國(guó)氣候變化委員會(huì)通過(guò)了《京都議定書(shū)》,將二氧化碳作為一種可以進(jìn)行交易的排放權(quán)商品,并且引入三種機(jī)制,其中,我國(guó)也是發(fā)展中國(guó)家唯一可以參與的就是清潔發(fā)展機(jī)制(CDM),產(chǎn)生的減排量為核證減排量(CER)。我國(guó)成為全球CDM最大供應(yīng)國(guó),但是,由于國(guó)內(nèi)碳交易市場(chǎng)不完善,定價(jià)機(jī)制缺失,造成我國(guó)參與國(guó)際碳交易時(shí)的價(jià)格低廉的后果,一般商品的期貨是具有價(jià)格發(fā)現(xiàn)功能的,即引導(dǎo)現(xiàn)貨價(jià)格,本文探討碳交易這種新型市場(chǎng)的期貨是否也具有價(jià)格發(fā)現(xiàn),從而看能否引導(dǎo)現(xiàn)貨價(jià)格,為提高我國(guó)的碳交易定價(jià)權(quán)提供幫助。 本文的主要工作如下： (1)對(duì)我國(guó)以及國(guó)際上目前清潔發(fā)展項(xiàng)目市場(chǎng)做了現(xiàn)狀分析,分析結(jié)果認(rèn)為我國(guó)碳交易定價(jià)缺乏話語(yǔ)權(quán)的主要原因是沒(méi)有自己的期貨市場(chǎng)以及沒(méi)有充分利用期貨價(jià)格發(fā)現(xiàn)功能； (2)構(gòu)建以CER期貨價(jià)格和現(xiàn)貨價(jià)格為變量的向量自回歸模型(VAR),利用格蘭杰因果檢驗(yàn)、協(xié)整檢驗(yàn),并且構(gòu)建誤差修正模型等； (3)利用歐盟氣候交易所的數(shù)據(jù),進(jìn)行實(shí)證分析,結(jié)果表明,無(wú)論從短期還是長(zhǎng)期看,CER期貨價(jià)格和現(xiàn)貨價(jià)格之間都存在著關(guān)聯(lián)關(guān)系,并且期貨價(jià)格的發(fā)現(xiàn)功能已經(jīng)有所體現(xiàn)； (4)對(duì)我國(guó)尚未構(gòu)建CER期貨市場(chǎng)前如何利用國(guó)際碳交易期貨市場(chǎng)提高定價(jià)權(quán)提出了相應(yīng)的建議,并且說(shuō)明構(gòu)建我國(guó)CER期貨市場(chǎng)的必要性,最后從幾個(gè)方面對(duì)CER期貨市場(chǎng)的構(gòu)建提出了設(shè)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.
【學(xué)位授予單位】：東北大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F832.5;F224;F205

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