国际碳排放便利收益驱动因素研究

发布时间：2018-04-01 04:43

本文选题：碳排放　切入点：便利收益　出处：《金融与经济》2011年11期

【摘要】：以欧洲气候交易所和北欧电力交易所中碳排放现货与期货价格的日交易数据作为数据样本,研究分析碳排放便利收益的行为特征及其驱动因素。实证结果显示,碳排放便利收益呈现均值回归的趋势,碳排放的便利收益与现货价格呈现显著的正相关性,与期货价格呈现显著的负相关性,与上期碳排放便利收益呈现显著的正相关性,且相关系数模拟效果都表现显著。欧洲气候交易所的碳排放便利收益与现货价格、期货价格波动率相关系数模拟效果表现显著,而北欧电力交易所中它们之间的相关系数模拟效果表现较弱。
[Abstract]:Taking the daily trading data of spot and futures prices of carbon emissions from the European Climate Exchange and the Nordic electricity Exchange as data samples, this paper studies the behavioral characteristics of carbon emissions facilitation benefits and their driving factors. There is a significant positive correlation between carbon emissions convenience income and spot price, a significant negative correlation with futures price, and a significant positive correlation with carbon emissions convenience income. And the simulation effect of correlation coefficient is remarkable. The simulation effect of carbon emission convenience income and spot price of European Climate Exchange, the correlation coefficient of futures price volatility is remarkable. On the other hand, the simulation effect of correlation coefficient between them is weak in Norden Electric Exchange.
【作者单位】：哈尔滨工业大学深圳研究生院;
【基金】：国家自然科学基金项目(71103050) 教育部人文社会科学研究规划基金项目(11YJA790152) 广东省自然科学基金项目(10151805707000001) 广东省软科学项目(2011B070300022)
【分类号】：X196;F224;F205

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