财经理论与实践
財經理論與實踐
재경이론여실천
The Theory and Practice of Finance and Economics
2013年
3期
93~97
,共null页
碳排放权 贸易价格 波动规律 GARCH模型
碳排放權 貿易價格 波動規律 GARCH模型
탄배방권 무역개격 파동규률 GARCH모형
Carbon emission rights; Trade price; Volatility rules; GARCH model
运用规范分析和基于GARCH模型族的实证分析发现:清洁发展机制(CDM)下国际碳排放权核证减排单位(CERs)市场的价格波动是政治博弈、国际经济形势等多重因素共同冲击的结果。其价格波动呈现时变性、聚集性和持续性特征,市场"杠杆效应"明显。我国作为全球CDM项目的最大供给方,为了掌握定价权,必须寻求CERs市场价格波动规律、积极参与国际气候环境条款的谈判、选择恰当贸易时机和建立CDM项目风险管理体系。
運用規範分析和基于GARCH模型族的實證分析髮現:清潔髮展機製(CDM)下國際碳排放權覈證減排單位(CERs)市場的價格波動是政治博弈、國際經濟形勢等多重因素共同遲擊的結果。其價格波動呈現時變性、聚集性和持續性特徵,市場"槓桿效應"明顯。我國作為全毬CDM項目的最大供給方,為瞭掌握定價權,必鬚尋求CERs市場價格波動規律、積極參與國際氣候環境條款的談判、選擇恰噹貿易時機和建立CDM項目風險管理體繫。
운용규범분석화기우GARCH모형족적실증분석발현:청길발전궤제(CDM)하국제탄배방권핵증감배단위(CERs)시장적개격파동시정치박혁、국제경제형세등다중인소공동충격적결과。기개격파동정현시변성、취집성화지속성특정,시장"강간효응"명현。아국작위전구CDM항목적최대공급방,위료장악정개권,필수심구CERs시장개격파동규률、적겁삼여국제기후배경조관적담판、선택흡당무역시궤화건립CDM항목풍험관리체계。
Using the normative analysis and the empirical analysis based on GARCH models to study, it is proved that trading price volatility of the international carbon emission rights results from common impaction which political game and international economic situation. The volatility of CERs price would be last for long time, it would not attenuate while the time changes. There is an obvious "leverage effect" in the CERs market. In order to master pricing, China must participate in international negotiations of climate environment terms actively as the biggest CDM supplier in the world, seek price volatility rules in CERs market ,choose appropriate trade opportunity and establish CDM risk management system.