胡根华 吴恒煜

摘要：采用EUA现货与期货价格、CER期货价格日数据，结合AR-GARCH与Markov机制转换模型，研究碳排放市场的波动聚集与结构转换特征。结果发现：（1）市场存在尖峰厚尾与波动聚集，且存在较大的尾部风险；（2）市场呈现明显的状态转换结构特征，其中EUA现货与期货市场的结构变化较大且在较长时期内处于下跌状态；（3）市场在上涨、盘整和下跌状态下的期望持续期均大约为5天。此外，从盘整状态和下跌状态到上涨状态的转换概率比较小，市场将会在较长时间内处于某一状态下。

关键词：碳排放配额；核证减排量；状态转换；Markov机制转换模型

DOI：10.13956/j.ss.1001-8409.2017.02.29

中图分类号：F1133；F8309 文献标识码：A 文章编号：1001-8409（2017）02-0136-05

State Switching Structure of European Union

Carbon Emission Trading Market Based on

ThreeState Markov Model

HU Genhua1， WU Hengyu2

（1. School of Business； Research Center of Anhui InnovationDriven and IndustrialTransformation and Upgrading Development， Anhui University of Technology， Maanshan 243032；

2. School of Management， Jinan University，Guangzhou 510632）

Abstract：This paper applied ARGARCH model to study volatility clustering and proposed a Markov regime switching model to capture structural switches， based on the data of EUA spot prices， EUA futures prices and CER futures prices. Result showed that： Firstly， lepkurtosis， heavy tails and volatility clustering existed in the carbon emission trading markets， indicated that the tailed risks happened in the markets with a large probability. Secondly， the Markov regime switching model captured the threshold of different stages of the carbon emission trading markets， and identified a large change of the structures of EUA spot and futures markets and being the fall state in a long time. Besides， the expected durations of the states of the rise， the consolidation and the fall were five days. Additionally， the transition probabilities were small from the states of the consolidation and the fall to the rise， and the markets were in one of the three states for a long time.

Key words：carbon emission allowance； certified emission reduction； state switching； Markov regimeswitching model

引言

碳排放交易市場的建立是尝试采用经济学手段解决气候变暖问题的重要途径。目前，碳排放交易市场已经成为重要的新兴贸易市场。碳排放交易市场的不断发展且日趋成熟，使得该市场的资本化程度逐渐深化，其金融属性也日益显著，并出现了多种碳金融产品及其衍生品。然而，该市场仍然不十分完善，市场结构容易受到外界信息的冲击而发生变化，并产生很大的市场不确定性风险。因而，研究碳排放交易市场的结构特征，不仅有助于完善市场制度，也有利于对该市场进行风险管理。

1相关文献综述

目前，针对碳排放配额和核证减排量的研究，许多国内外学者都是基于计量经济学方法，如Paolella和Taschini [1]，王军锋等 [2]。近几年来，国内外学者研究了碳排放现货交易市场的动态……