本文選題：碳排放權(quán)　切入點(diǎn)：隨機(jī)波動(dòng)模型　出處：《安徽工程大學(xué)》2013年碩士論文　論文類(lèi)型：學(xué)位論文

【摘要】：隨著國(guó)際碳交易市場(chǎng)的不斷發(fā)展,越來(lái)越多的國(guó)家參與其中,為占據(jù)碳交易市場(chǎng)的主導(dǎo)地位,定價(jià)權(quán)成了各國(guó)之間爭(zhēng)奪的焦點(diǎn)。與國(guó)際市場(chǎng)相比,我國(guó)碳交易市場(chǎng)仍處于起步階段,碳排放權(quán)交易價(jià)格不合理,碳交易機(jī)制欠完善。盡管我國(guó)在國(guó)際碳排放交易市場(chǎng)中占據(jù)很大份額,卻始終只是扮演廉價(jià)的CER出口商的角色,沒(méi)有定價(jià)權(quán)。發(fā)揮碳市場(chǎng)的價(jià)格發(fā)現(xiàn)功能,市場(chǎng)價(jià)格充分體現(xiàn)碳排放權(quán)屬性是實(shí)現(xiàn)低碳經(jīng)濟(jì)的充要條件。因此,碳排放權(quán)定價(jià)問(wèn)題是碳交易市場(chǎng)形成與發(fā)展的關(guān)鍵所在。金融市場(chǎng)理論表明,一個(gè)成熟的金融市場(chǎng),價(jià)格回歸其長(zhǎng)期均衡價(jià)格是必然的。鑒于此,本文從研究碳排放權(quán)價(jià)格波動(dòng)規(guī)律入手,對(duì)碳交易價(jià)格進(jìn)行深入分析,并予以實(shí)證,洞悉國(guó)際碳排放權(quán)價(jià)格的波動(dòng)規(guī)律,結(jié)合我國(guó)碳交易市場(chǎng)特征,借鑒國(guó)際碳交易市場(chǎng)運(yùn)作的成功經(jīng)驗(yàn)提出相關(guān)政策建議,籍以完善我國(guó)碳排放市場(chǎng)的交易體系。 本文首先基于碳排放權(quán)虛擬性、權(quán)益性、政策性、價(jià)格波動(dòng)性的特征,從金融市場(chǎng)視角分析碳排放權(quán)價(jià)格的影響因素：一級(jí)市場(chǎng)中,主要表現(xiàn)為減排目標(biāo)、減排技術(shù)、管理成本以及市場(chǎng)風(fēng)險(xiǎn)等；二級(jí)市場(chǎng)中,主要表現(xiàn)為能源價(jià)格、預(yù)測(cè)價(jià)格水平等,并詳細(xì)分析了碳排放權(quán)價(jià)格波動(dòng)性的一些特征事實(shí)。然后,基于標(biāo)準(zhǔn)的隨機(jī)波動(dòng)模型提出了一種以貝葉斯分析為基礎(chǔ)的區(qū)制轉(zhuǎn)移隨機(jī)波動(dòng)模型估計(jì)的MCMC參數(shù)估計(jì)方法,并運(yùn)用此方法對(duì)歐盟碳排放權(quán)交易市場(chǎng)價(jià)格的波動(dòng)性予以實(shí)證分析。結(jié)果表明,由于受到市場(chǎng)有效性的限制,國(guó)際碳市場(chǎng)在短期內(nèi)不具有均值回歸特征。但是,隨著國(guó)際政策和相關(guān)市場(chǎng)機(jī)制的不斷完善,國(guó)際碳市場(chǎng)價(jià)格回歸其長(zhǎng)期均衡價(jià)格是必然的。最后,從碳排放權(quán)期貨交易市場(chǎng)、碳排放權(quán)價(jià)值估值方法、碳交易風(fēng)險(xiǎn)管理體系和碳金融衍生品交易市場(chǎng)等方面提出建議,籍以完善我國(guó)碳排放市場(chǎng)的交易體系,提高我國(guó)在國(guó)際碳排放權(quán)交易市場(chǎng)中的定價(jià)權(quán)地位。 本文的主要?jiǎng)?chuàng)新點(diǎn)：1、研究方法。目前,關(guān)于碳交易市場(chǎng)價(jià)格的研究雖然已經(jīng)開(kāi)始,但是就國(guó)內(nèi)外已有的研究成果來(lái)看,大多都集中在定性研究階段。本文在基于隨機(jī)波動(dòng)模型定性分析碳排放權(quán)交易價(jià)格波動(dòng)性特征之后,運(yùn)用歐盟碳排放權(quán)交易市場(chǎng)的價(jià)格數(shù)據(jù)予以實(shí)證,進(jìn)一步提煉碳排放權(quán)價(jià)格的波動(dòng)性特征。 2、模型參數(shù)估計(jì)方法。隱含潛在狀態(tài)變量模型的參數(shù)估計(jì)一直是學(xué)術(shù)界研究的焦點(diǎn),本文運(yùn)用MCMC方法對(duì)隱含潛在狀態(tài)變量的隨機(jī)波動(dòng)模型進(jìn)行參數(shù)估計(jì),有效地解決了潛在狀態(tài)變量的濾波和預(yù)測(cè)問(wèn)題。
[Abstract]:With the continuous development of the international carbon trading market, more and more countries participate in it. In order to occupy the dominant position of the carbon trading market, pricing power has become the focus of contention among countries. China's carbon trading market is still in its infancy, the carbon emissions trading price is unreasonable and the carbon trading mechanism is imperfect. Although China occupies a large share of the international carbon trading market, it has always played the role of cheap CER exporters. There is no pricing power. It is a necessary and sufficient condition to realize low carbon economy by giving full play to the price discovery function of carbon market and fully reflecting the attribute of carbon emission right. The pricing of carbon emission rights is the key to the formation and development of carbon trading market. Financial market theory shows that it is inevitable for a mature financial market to return to its long-term equilibrium price. Starting with the study of the price fluctuation of carbon emission rights, this paper analyzes the price of carbon trading in depth, and gives empirical evidence to understand the fluctuation law of international carbon emission rights price, combined with the characteristics of carbon trading market in China. Based on the successful experience of international carbon trading market, this paper puts forward relevant policy suggestions in order to perfect the trading system of China's carbon emissions market. Based on the characteristics of fictitious carbon emission rights, equity, policy and price volatility, this paper first analyzes the influencing factors of carbon emission rights price from the perspective of financial market: in the primary market, the main performance is emission reduction targets, emission reduction technology, In the secondary market, the price of energy and the price level are predicted, and some characteristic facts of the price volatility of carbon emission rights are analyzed in detail. Based on the standard stochastic volatility model, a MCMC parameter estimation method based on Bayesian analysis is proposed. This method is used to analyze the volatility of carbon emissions trading market price in EU. The results show that the international carbon market does not have the characteristics of mean regression in the short term due to the limitation of market effectiveness. With the continuous improvement of international policies and relevant market mechanisms, it is inevitable for the international carbon market price to return to its long-term equilibrium price. In order to perfect the trading system of China's carbon emission market and improve the position of pricing power in the international carbon emissions trading market, the paper puts forward some suggestions on carbon trading risk management system and carbon financial derivatives trading market. The main innovation of this paper is 1: 1, the research method. At present, although the research on the price of carbon trading market has already begun, but from the point of view of the existing research results at home and abroad, Most of them are focused on qualitative research stage. After qualitative analysis of price volatility characteristics of carbon emissions trading based on stochastic volatility model, this paper uses the price data of European Union carbon emissions trading market to demonstrate. Further refine the price volatility characteristics of carbon emission rights. 2. Parameter estimation method of model. Parameter estimation of latent state variable model has been the focus of academic research. In this paper, MCMC method is used to estimate the parameter of stochastic wave model with hidden potential state variable. The problem of filtering and prediction of potential state variables is solved effectively.
【學(xué)位授予單位】：安徽工程大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F831.5;F224

【引證文獻(xiàn)】

相關(guān)期刊論文 前1條

1 周童;;碳市場(chǎng)價(jià)格淺析與應(yīng)對(duì)策略[J];商;2015年15期

相關(guān)碩士學(xué)位論文 前1條

1 王子辰;基于ARIMA-LSSVM模型的碳期貨價(jià)格的預(yù)測(cè)研究[D];哈爾濱工業(yè)大學(xué);2015年

，

本文編號(hào)：1617829