本文關(guān)鍵詞：碳排放期貨價格發(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 價格發(fā)現(xiàn)功能

【摘要】：隨著工業(yè)化進程的加快,二氧化碳的排放量逐漸增多。近年來,由于各個國家這種溫室氣體的過量排放,帶來了全球變暖的問題,全球變暖嚴重影響人類的生活生產(chǎn)活動,為了控制全球二氧化碳排放總量,2005年聯(lián)合國氣候變化委員會通過了《京都議定書》,將二氧化碳作為一種可以進行交易的排放權(quán)商品,并且引入三種機制,其中,我國也是發(fā)展中國家唯一可以參與的就是清潔發(fā)展機制(CDM),產(chǎn)生的減排量為核證減排量(CER)。我國成為全球CDM最大供應(yīng)國,但是,由于國內(nèi)碳交易市場不完善,定價機制缺失,造成我國參與國際碳交易時的價格低廉的后果,一般商品的期貨是具有價格發(fā)現(xiàn)功能的,即引導(dǎo)現(xiàn)貨價格,本文探討碳交易這種新型市場的期貨是否也具有價格發(fā)現(xiàn),從而看能否引導(dǎo)現(xiàn)貨價格,為提高我國的碳交易定價權(quán)提供幫助。 本文的主要工作如下： (1)對我國以及國際上目前清潔發(fā)展項目市場做了現(xiàn)狀分析,分析結(jié)果認為我國碳交易定價缺乏話語權(quán)的主要原因是沒有自己的期貨市場以及沒有充分利用期貨價格發(fā)現(xiàn)功能； (2)構(gòu)建以CER期貨價格和現(xiàn)貨價格為變量的向量自回歸模型(VAR),利用格蘭杰因果檢驗、協(xié)整檢驗,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),進行實證分析,結(jié)果表明,無論從短期還是長期看,CER期貨價格和現(xiàn)貨價格之間都存在著關(guān)聯(lián)關(guān)系,并且期貨價格的發(fā)現(xiàn)功能已經(jīng)有所體現(xiàn)； (4)對我國尚未構(gòu)建CER期貨市場前如何利用國際碳交易期貨市場提高定價權(quán)提出了相應(yīng)的建議,并且說明構(gòu)建我國CER期貨市場的必要性,最后從幾個方面對CER期貨市場的構(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)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.5;F224;F205

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本文編號：1390938