摘要
通过构建一个代表性控排企业跨期决策理论模型,分析碳配额交易企业在履约日与非履约日的最优交易量。均衡结果显示,企业在非履约日的最优交易量与其自身的风险规避系数、市场流动性提供者的风险规避系数、履约日随机碳需求的标准差成正比,而与企业的碳产出效率成反比。在此基础上,探讨了中国碳交易试点市场上履约日附近交易量巨大,而非履约日交易量稀少的原因,并提出相关政策建议,以帮助实现我国碳市场交易量的平滑及整体市场效率的提升。
This paper builds a representative firm＇s cross-period decision model to analyze the firm＇s optimal trading wd- umes on the quota-fulfillment day and the non-quota-fulfillment days. The equilibrium results show that the firm＇s optimal trading volume on the non-quota-fulfillment days positively correlates to its own risk aversion coefficient, market maker＇s risk aversion coefficient and the standard deviation of the random carbon demand on the quota-fulfilhnent day ; while negatively cor- relates to the firm＇s carbon output efficiency. Our model explains why in Chinese carbon pilot markets the trading wolume is huge around the quota-fulfillment day while scarce onthe non-quota-fulfillment days. We propose corresponding policy sugges- tions to help smooth the trading volumes and improve the efficiency of Chinese carbon markets.
出处
《财经论丛》
CSSCI
北大核心
2016年第5期45-52,共8页
Collected Essays on Finance and Economics
关键词
碳配额市场
集中交易行为
交易量
carbon quota markets
concentrated trading behavior
trading volume
