本文關(guān)鍵詞：中國(guó)碳金融市場(chǎng)發(fā)展機(jī)制研究　出處：《東北林業(yè)大學(xué)》2013年博士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 碳金融市場(chǎng) 市場(chǎng)機(jī)制 期貨定價(jià) 風(fēng)險(xiǎn)度量 GARCH-VaR模型

【摘要】：國(guó)際碳金融市場(chǎng)發(fā)展迅速有超過石油市場(chǎng)成為最大國(guó)際交易市場(chǎng)的趨勢(shì)。中國(guó)作為發(fā)展中國(guó)家是全球最大的碳交易項(xiàng)目清潔發(fā)展機(jī)制(CDM)的供給方,但受到國(guó)際買方市場(chǎng)、自身發(fā)展能力與水平的限制,缺乏話語權(quán)與定價(jià)權(quán),獲利微乎其微,損害了中國(guó)項(xiàng)目業(yè)主的權(quán)益。發(fā)展中國(guó)碳金融市場(chǎng),獲取定價(jià)的權(quán)力,提高交易能力,探索建立碳金融市場(chǎng)促進(jìn)環(huán)境與經(jīng)濟(jì)協(xié)調(diào)發(fā)展機(jī)制,加快經(jīng)濟(jì)發(fā)展方式轉(zhuǎn)變和產(chǎn)業(yè)結(jié)構(gòu)升級(jí),提高本土項(xiàng)目業(yè)主在國(guó)際市場(chǎng)的議價(jià)權(quán)能力,謀求金融創(chuàng)新發(fā)展,勢(shì)在必行。因此,本文以發(fā)展中國(guó)碳金融市場(chǎng)為背景,以建立碳金融市場(chǎng)發(fā)展機(jī)制為切入點(diǎn),探索建立中國(guó)碳金融市場(chǎng)理論架構(gòu)與可操作性的運(yùn)行機(jī)制,以期為中國(guó)碳金融市場(chǎng)發(fā)展提供理論支撐和現(xiàn)實(shí)依據(jù)。 本文首先系統(tǒng)梳理與分析了國(guó)內(nèi)外碳金融市場(chǎng)研究文獻(xiàn),得出了對(duì)我國(guó)發(fā)展碳金融市場(chǎng)的經(jīng)驗(yàn)與啟示,在實(shí)地走訪調(diào)研基礎(chǔ)上,分析中國(guó)碳金融市場(chǎng)發(fā)展現(xiàn)狀,指出其存在的主要問題,運(yùn)用SWOT戰(zhàn)略分析法將碳金融市場(chǎng)按內(nèi)部影響因素和外部影響因素進(jìn)行立體化區(qū)分,分別對(duì)市場(chǎng)4個(gè)方面的情況進(jìn)行關(guān)聯(lián)分析。研究發(fā)現(xiàn)：中國(guó)發(fā)展碳金融市場(chǎng)應(yīng)選擇優(yōu)勢(shì)機(jī)會(huì)策略(SO)和優(yōu)勢(shì)威脅策略(ST)的戰(zhàn)略發(fā)展方向,而市場(chǎng)機(jī)制的有效運(yùn)行是實(shí)現(xiàn)這一戰(zhàn)略目標(biāo)的關(guān)鍵。 其次,在SWOT戰(zhàn)略分析基礎(chǔ)上,構(gòu)建了中國(guó)碳金融市場(chǎng)發(fā)展機(jī)制的總體框架。提出了框架設(shè)計(jì)的指導(dǎo)思想、原則、結(jié)構(gòu)、功能,并進(jìn)一步將發(fā)展機(jī)制細(xì)分為供求機(jī)制、價(jià)格機(jī)制、競(jìng)爭(zhēng)機(jī)制、風(fēng)險(xiǎn)機(jī)制和監(jiān)管機(jī)制五個(gè)方面。依據(jù)論文研究的目的與思路提出價(jià)格機(jī)制是整個(gè)市場(chǎng)機(jī)制的核心,風(fēng)險(xiǎn)機(jī)制是市場(chǎng)的約束機(jī)制,以其建立中國(guó)碳金融市場(chǎng)的運(yùn)行機(jī)制。 再次,建立了差分自回歸移動(dòng)平均模型(ARIMA)預(yù)測(cè)核證減排量(CER)期貨市場(chǎng)的價(jià)格走勢(shì),為實(shí)現(xiàn)中國(guó)碳金融市場(chǎng)的合理定價(jià)提供技術(shù)支持。研究發(fā)現(xiàn)：CER期貨價(jià)格序列存在一階單位根,是非平穩(wěn)的時(shí)間序列,非平穩(wěn)時(shí)間序列在各個(gè)時(shí)間點(diǎn)上的隨機(jī)規(guī)律是不同的,難以通過序列已知的信息去掌握時(shí)間序列整體上的隨機(jī)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(chǎng),通過建立模型估計(jì)的預(yù)測(cè)值與真實(shí)值比較,ARIMA模型能夠很好地對(duì)CER期貨價(jià)格進(jìn)行擬合。CER碳市場(chǎng)不存在價(jià)格發(fā)現(xiàn)功能,不能通過期貨理論為CER碳市場(chǎng)進(jìn)行合理定價(jià)；EUA期貨市場(chǎng)和CER期貨市場(chǎng)短期內(nèi)存在價(jià)格發(fā)現(xiàn)功能,可以通過期貨理論為CER期貨市場(chǎng)進(jìn)行合理定價(jià)。這一結(jié)論證明碳金融市場(chǎng)引入期貨定價(jià)機(jī)制,可以為中國(guó)CDM項(xiàng)目業(yè)主在國(guó)際碳市場(chǎng)爭(zhēng)取利益、提升盈利空間,實(shí)現(xiàn)金融市場(chǎng)創(chuàng)新發(fā)展,實(shí)現(xiàn)定價(jià)權(quán)提供幫助。 第四,運(yùn)用廣義誤差分布模型(GED)描述CER期貨市場(chǎng)是尖峰厚尾的波動(dòng)特征,并以此特征建立廣義自回歸條件異方差—在險(xiǎn)值模型(GARCH-VaR)能夠比國(guó)際上通用的在險(xiǎn)值模型(VaR)更準(zhǔn)確地描述CER期貨市場(chǎng)的風(fēng)險(xiǎn)值。這一研究工作可以降低市場(chǎng)參與者的投資風(fēng)險(xiǎn),幫助中國(guó)碳金融市場(chǎng)穩(wěn)定發(fā)展,盡早實(shí)現(xiàn)與國(guó)際碳金融市場(chǎng)接軌,融入國(guó)際碳金融市場(chǎng)競(jìng)爭(zhēng)當(dāng)中。將VaR引入碳市場(chǎng)風(fēng)險(xiǎn)度量中,提出了有效描述碳市場(chǎng)風(fēng)險(xiǎn)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(chǎng)價(jià)格下跌的風(fēng)險(xiǎn)大于價(jià)格上漲的風(fēng)險(xiǎn)；GARCH-VaR模型提高了中國(guó)碳金融市場(chǎng)風(fēng)險(xiǎn)估值的準(zhǔn)確性,可以幫助中國(guó)更好地開展碳金融市場(chǎng),為中國(guó)碳金融市場(chǎng)風(fēng)險(xiǎn)度量提供理論支持。 最后論文提出建立中國(guó)碳金融市場(chǎng)發(fā)展機(jī)制的政策保障體系。中國(guó)碳金融市場(chǎng)發(fā)展與完善是一項(xiàng)系統(tǒng)工程,本文從碳金融市場(chǎng)價(jià)格波動(dòng)和風(fēng)險(xiǎn)度量進(jìn)行認(rèn)識(shí)和理解,為碳金融市場(chǎng)價(jià)格預(yù)測(cè)、期貨定價(jià)功能、風(fēng)險(xiǎn)度量提供技術(shù)支持,為碳金融市場(chǎng)參與者進(jìn)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(xué)位授予單位】：東北林業(yè)大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.5;X196

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 袁艷平;蒲麗娟;;商業(yè)銀行介入碳金融業(yè)務(wù)的風(fēng)險(xiǎn)及其控制研究[J];商業(yè)研究;2012年01期

2 于永達(dá),郭沛源;金融業(yè)促進(jìn)可持續(xù)發(fā)展的研究與實(shí)踐[J];環(huán)境保護(hù);2003年12期

3 張野;;我國(guó)碳金融發(fā)展現(xiàn)狀及前景淺析[J];經(jīng)濟(jì)師;2012年01期

4 盛小嬌;楊肅昌;;我國(guó)碳金融發(fā)展存在的問題及對(duì)策[J];經(jīng)濟(jì)縱橫;2011年11期

5 張茉楠;;碳金融能否成為全球貨幣金融新體系的起點(diǎn)[J];中國(guó)經(jīng)貿(mào);2009年12期

6 嚴(yán)瓊芳;;碳金融研究述評(píng)——兼論環(huán)境金融與碳金融的關(guān)系[J];理論月刊;2011年12期

7 王文樂;;構(gòu)建我國(guó)碳金融制度的路徑思考[J];企業(yè)經(jīng)濟(jì);2010年11期

8 王軍華;論金融業(yè)的“綠色革命”[J];生態(tài)經(jīng)濟(jì);2000年10期

9 熊學(xué)萍;傳統(tǒng)金融向綠色金融轉(zhuǎn)變的若干思考[J];生態(tài)經(jīng)濟(jì);2004年11期

10 盛春光;;全球碳金融市場(chǎng)發(fā)展困境與中國(guó)選擇[J];生態(tài)經(jīng)濟(jì);2013年03期

相關(guān)博士學(xué)位論文 前1條

1 劉婧;基于強(qiáng)度減排的我國(guó)碳交易市場(chǎng)機(jī)制研究[D];復(fù)旦大學(xué);2010年

，

本文編號(hào)：1432796