發(fā)布時間：2018-05-04 00:36

  本文選題：碳期貨 + 跨期合約��； 參考：《哈爾濱工業(yè)大學》2012年碩士論文

【摘要】：在規(guī)模日益擴大的碳交易市場中，碳期貨占據(jù)很大的市場份額，并且在套期保值和價格發(fā)現(xiàn)方面有重大作用。目前，國內(nèi)外學者對碳交易市場中的現(xiàn)貨及衍生品做了大量工作，針對碳排放的現(xiàn)貨定價以及相應的衍生品定價進行了深入的分析研究。但是對于不同階段中的單期碳期貨合約和跨期碳期貨合約進行的對比研究較少。由于歐盟關(guān)于碳交易的政策的改變和宏觀經(jīng)濟形勢的變動導致在不同階段的單期碳期貨合約和跨期碳期貨合約表現(xiàn)出不同的性質(zhì)，本文參照普通商品期貨合約的期限結(jié)構(gòu)理論和協(xié)整理論對碳交易市場中的單期合約和跨期合約進行分析。 針對單期合約和跨期合約，本文主要從靜態(tài)和動態(tài)兩個角度對其進行研究。靜態(tài)分析主要從時間序列的平穩(wěn)性、與現(xiàn)貨價格的協(xié)整性以及格蘭杰檢驗三個角度進行設(shè)計分析。動態(tài)研究分析指在此基礎(chǔ)上引入持有成本模型和改進的二因素期貨定價模型來對兩階段中的單期合約和跨期合約的期限結(jié)構(gòu)進行分析。 本文選取的數(shù)據(jù)來自歐洲能源交易所，經(jīng)過Matlab和Eviews軟件對數(shù)據(jù)處理之后得出：在進行期貨價格序列與現(xiàn)貨價格序列的協(xié)整性檢時發(fā)現(xiàn)單期合約較跨期合約表現(xiàn)出了更為優(yōu)越的特性，雖然在5%的水平下二者都表現(xiàn)出了與現(xiàn)貨價格序列長期均衡的性質(zhì)，但是在1%的水平下跨期合約不再具有該特性，僅單期合約依然表現(xiàn)出了與現(xiàn)貨價格的協(xié)整性。其次，對于單期合約而言使用單因素的持有成本模型可以比較優(yōu)良的模擬期貨合約的期限結(jié)構(gòu)，但是對于跨期合約而言，該模型模擬的誤差相對單期合約而言有明顯的放大。通過引入隨機便利收益這一變量之后，所推導出的二因素模型很好的擬合了期貨的期限結(jié)構(gòu)，，模型所產(chǎn)生的理論價格與實際交易價格之間的誤差大幅度縮小。最后，通過縱向?qū)Ρ葍蓚�階段的分析結(jié)果發(fā)現(xiàn)經(jīng)過第一階段的試驗期，歐盟排放權(quán)交易體系進入第二階段之后市場的運行效率有了提高，市場運行更為成熟。
[Abstract]:In the expanding carbon trading market, carbon futures occupy a large market share and play an important role in hedging and price discovery. At present, scholars at home and abroad have done a lot of work on spot and derivatives in carbon trading market, and have carried out in-depth analysis and research on spot pricing of carbon emissions and corresponding derivatives pricing. However, there are few comparative studies on single-period carbon futures contracts and cross-term carbon futures contracts in different stages. As a result of the changes in EU policy on carbon trading and changes in the macroeconomic situation, single-period carbon futures contracts at different stages and interterm carbon futures contracts show different nature. Referring to the term structure theory and cointegration theory of general commodity futures contracts, this paper analyzes the single-period contracts and inter-term contracts in the carbon trading market. In this paper, single-term contract and cross-term contract are studied from static and dynamic aspects. Static analysis mainly from the time series stability, and spot price cointegration and Granger test design analysis. Dynamic research and analysis refers to the introduction of the holding cost model and the improved two-factor futures pricing model to analyze the term structure of single-period contracts and inter-term contracts in two stages. The data selected in this paper are from the European Energy Exchange, After processing the data by Matlab and Eviews software, it is concluded that the single-period contract shows more superior characteristics than the intertemporal contract when the futures price sequence and spot price sequence are cointegrated. Although both of them show long-term equilibrium with spot price sequence at 5% level, but at 1% level, cross-term contracts no longer have this property, only single-period contracts still show cointegration with spot prices. Secondly, the single-factor holding cost model can be used to simulate the term structure of futures contracts, but for intertemporal contracts, the error of the model is obviously enlarged compared with single-period contracts. By introducing the variable of stochastic convenient return, the two-factor model is developed to fit the term structure of futures well, and the error between the theoretical price and the actual transaction price is greatly reduced. Finally, through the longitudinal comparison of the results of the two stages, it is found that after the first stage of the trial period, the market efficiency has been improved and the market operation is more mature after the EU emissions trading system enters the second stage.
【學位授予單位】：哈爾濱工業(yè)大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F831.5;F205

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本文編號：1840820