摘要
本文主要探讨EU ETS中的EUA现货价格与宏观经济、金融市场和能源市场之间的关系。考虑到2006年4月发生的核证排放量披露事件导致EUA现货价格的急剧下降、EU ETS的阶段性、金融危机对碳市场可能的潜在影响和碳价自身的波动性等因素,本文使用马尔科夫机制转移向量自回归模型(MSVAR)讨论宏观经济、金融市场和能源市场与碳价的非线性关系。通过该模型将整个样本期划分为四个机制,针对每个机制分析宏观经济、金融市场、能源市场与EUA现货价格之间的关系。实证结果发现:第一,正常状态下宏观经济、金融市场和能源市场对碳市场的影响方向上均符合预期,但都存在着滞后性。第二,在不同机制下,可能源于碳市场是新兴市场又有其独特的交易制度,造成宏观经济对碳价影响呈波动状态,金融市场对其的影响表现出不稳定性,能源市场对碳市场的影响不具有鲁棒性。第三,金融危机对碳市场的影响时间不长,但是对碳市场会起到质的改变。第四,碳市场在第一阶段快结束时期,由于本身交易制度的原因,各变量对碳市场的作用不明显。
This paper examines the nonlinear effect of macroeconomic, financial market, and energy market on carbon price based on Markov--switching vector autoregression model. Empirical results reveal that four regimes are present during the sampling period： normal market regime, abnormal market regime, transitional market regime, and crisis market regime. Transitional market regime occurs from phase I, and then transferred to phase II of the European Union Emission Trading System. Crisis market regime occurs during the global financial crisis. As a result of environmental impact and the unique nature of the trading scheme, the influence of indicator variables, such as macroeconomic, financial market, and energy market on the European Union Allowances spot price is contrary to expectations under the two regimes. Under the other regimes, the impact of these variables on carbon price is consistent with expectations, but exhibits a slight delay. Most samples are under the normal market regime, in which carbon price series also shows a certain auto--correlation. However, because of the instability of the carbon market, auto--correlation is occasionally insignificant, thus revealing that the carbon market is under the abnormal market regime.
出处
《财经理论研究》
2017年第6期37-46,共10页
Journal of Finance and Economics Theory
基金
内蒙古自然科学基金项目(2016BS0702)
2017年度内蒙古自治区高等学校科学研究项目(NJZC17136)
