摘要
探索碳市场价格驱动力是能源经济领域关注的焦点问题之一。基于欧盟排放交易体系(EU ETS)碳期货价格,综合运用结构性断点检验、协整技术和岭回归方法分析碳市场价格驱动因素和驱动模式。结果表明:2007年巴厘行动计划、2008年全球金融危机和2011年欧债危机,均对碳市场价格走势产生了显著影响,导致了碳市场价格发生结构性变化;碳市场价格与能源价格、工业生产、气温条件等因素间存在协整关系;自2009年10月以来,碳市场价格观测值低于均衡值,未来碳市场价格仍将倾向于贬值。
The exploration of the driving factors of carbon price has become one of the focuses in the field of energy economics. Relying on the European Union Emission Trading Scheme(EU ETS) allowance futures price 2006—2012, an integrated model of the structure breakpoint test, cointegration technique and ridge regression analysis is used to explore the factors and patterns of carbon price driving factors. The empirical results show that, the Bali action plan in 2007, global financial crisis in 2008 and European debt crisis in 2011 had significant influences on the carbon price, which led to a structural breakpoint of the carbon price respectively. Meantime, a cointegrating relationship existed between the carbon price and its driving factors including energy prices, industrial production and weather. The estimated carbon prices are below equilibrium values, while the future carbon price tends to be undervalued since October 2009.
出处
《北京理工大学学报（社会科学版）》
CSSCI
2014年第3期22-29,共8页
Journal of Beijing Institute of Technology：Social Sciences Edition
基金
国家自然科学基金资助项目(71201010
71303174)
国家教育部人文社会科学基金资助项目(11YJC630304)
广东省自然科学基金资助项目(S2012010009991)
关键词
欧盟排放交易体系
碳市场价格驱动力
结构性断点检验
协整
岭回归分析
European Union emission trading scheme
carbon price drivers
structure breakpoint test
cointegration technique
ridge regression analysis
