国际贸易问题
國際貿易問題
국제무역문제
Journal of International Trade
2011年
10期
107~115
,共null页
碳贸易 碳排放权 机制转换 Markov-GARCH模型
碳貿易 碳排放權 機製轉換 Markov-GARCH模型
탄무역 탄배방권 궤제전환 Markov-GARCH모형
Carbon trade; Carbon emission rights; Regime-switching; Markov-GARCH model
本文构建并拟合了包含分布转换的Markov-GARCH模型，计算了基于该模型的风险价值（VaR），对国际碳贸易市场价格风险变动趋势进行了分析。研究结果表明：碳贸易市场价格在均值、方差、峰度、波动聚集性以及分布形式方面都具有机制转换的特性；欧盟推出的EUETS改革措施将促使未来碳贸易市场价格波动风险进一步降低。我国应当适时提高CDM合同最低限价；减少向CDM合同国际买方支付的风险溢价；暂停上马HFC-23和N2O分解类项目；加快国内碳贸易和碳金融市场的发展，争夺国际碳贸易市场定价权。
本文構建併擬閤瞭包含分佈轉換的Markov-GARCH模型，計算瞭基于該模型的風險價值（VaR），對國際碳貿易市場價格風險變動趨勢進行瞭分析。研究結果錶明：碳貿易市場價格在均值、方差、峰度、波動聚集性以及分佈形式方麵都具有機製轉換的特性；歐盟推齣的EUETS改革措施將促使未來碳貿易市場價格波動風險進一步降低。我國應噹適時提高CDM閤同最低限價；減少嚮CDM閤同國際買方支付的風險溢價；暫停上馬HFC-23和N2O分解類項目；加快國內碳貿易和碳金融市場的髮展，爭奪國際碳貿易市場定價權。
본문구건병의합료포함분포전환적Markov-GARCH모형，계산료기우해모형적풍험개치（VaR），대국제탄무역시장개격풍험변동추세진행료분석。연구결과표명：탄무역시장개격재균치、방차、봉도、파동취집성이급분포형식방면도구유궤제전환적특성；구맹추출적EUETS개혁조시장촉사미래탄무역시장개격파동풍험진일보강저。아국응당괄시제고CDM합동최저한개；감소향CDM합동국제매방지부적풍험일개；잠정상마HFC-23화N2O분해류항목；가쾌국내탄무역화탄금융시장적발전，쟁탈국제탄무역시장정개권。
This paper constructs a Markov-GARCH model containing distribution switching and compute VaR to study the trend of price risk. It is proved that there exits regime-switching in the mean, variance, kurtosis, clustering and even distribution in the market price of carbon emissions. More importantly, some reform policies will be implemented by EU. They will help lower the risk of the price of the carbon market. Chinese government should put up the price floor, prohibit HFC-23 and N20 CDM projects and develop domestic carbon finance market to win the pricing right for the international carbon market. China firms in CDM projects should lower the risk premium paid to foreign buyers in fixed price CDM contracts or sign floating price contracts.
