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利用LASSO方法估计CKLS模型,结合似然率检验,研究EU ETS碳排放期货价格的运行特征。研究发现,在EU ETS第一阶段交易的DEC07期货价格不存在均值回归特征,这是因为价格受到政策、宏观经济、能源价格以及异常天气等因素影响而呈发散趋势;而EU ETS第二阶段交易的DEC09、DEC10和DEC11期货价格均有均值回归的特征,这表明,随着该碳排放交易机制的成熟,尽管受到众多因素的影响,但EUA期货价格的具有可预测的长期趋势。因此,研究EUA期货的长期趋势,可以为我国航空业等直接或间接与EUETS相关企业和清洁发展机制项目(CDM)规避风险提供有益参考。
The LASSO method is used to estimate the CKLS model, and combined with the likelihood test to study the operational characteristics of EU ETS carbon emission futures. The study found that the DEC07 futures traded in the first phase of the EU ETS do not have an average regression characteristic because the prices diverge due to factors such as policies, macroeconomics, energy prices and abnormal weather, while the second phase of the EU ETS transaction The DEC09, DEC10 and DEC11 futures are all characterized by a return to the average, suggesting that as the carbon trading matures, EUA futures have predictable long-term trends despite many factors. Therefore, studying the long-term trend of EUA futures can provide useful reference for China’s aviation industry to directly or indirectly evade the risks associated with EUETS-related enterprises and Clean Development Mechanism Projects (CDM).