让碳交易真正促进电力节能减排

早在2011年,国家发改委就下发了《关于开展碳排放权交易试点工作的通知》,批准北京、天津、上海、重庆、广东、湖北、深圳7省市为我国首批碳排放权交易（以下简称“碳交易”）试点城市;2013年,深圳、上海、北京、广东、天津5个试点省市先后启动碳排放权交易,正式开创了我国碳交易元年;2014年,湖北启动试点,碳交易在各地继续推进.据国家发改委网站2月发布的消息,我国碳排放交易试点进展顺利,下一步还将研究尽快建立全国碳排放交易市场.虽然中国的碳市场发展落后于欧盟和其他发达国家,但中国却是全球最大的碳排放国,潜在市场规模巨大,未来很可能成为全球最大的碳交易市场.从世界和中国范围来看,电力行业都是碳排放和碳减排的重要领域,也是碳交易市场的主体之一,随着下一步我国碳交易市场建设的加速推进,电力行业将面临新的机遇与挑战.最近,记者走访了深圳、北京等地的碳交易市场和有关电力企业,从电力企业参与碳交易的实践中发现了一些问题,也得到了一些启示,在这里与读者交流、探讨.     

中国碳排放权交易市场运行状况及其效率分析——基于碳交易价格的测算

碳排放权交易机制是我国实现“双碳”目标的重要措施和工具。本文基于全国8个试点碳市场的碳交易数据，分析了试点碳市场的交易和运行状况，并选取2017年1月9日至2023年2月10日碳交易价格数据，采用Bai-Perron方法和R/S分析方法对我国试点碳市场的结构突变和市场效率进行分析，测算了各试点市场的Hurst指数以及基于结构突变点划分的局部Hurst指数。研究显示，深圳碳市场达到弱式有效，上海碳市场接近弱式有效。基于结构突变点划分后各市场阶段运行效率及趋势各不相同。本文详细探究了导致各碳市场结构突变和运行效率差异的原因，并根据研究结果对我国碳市场建设提出相应政策建议。     

碳税和碳交易的应用现状分析

实行节能减排有行政手段、财税手段和市场机制等措施。碳税作为财税手段、碳交易作为市场手段可以发挥各自的作用。追踪碳税和碳交易的应用现状,结合我国国情,提出了重视节能减排政策的系统效果研究、加强碳税和碳交易市场的基础性工作以及进行碳税和碳交易的比较研究的相关建议。     

市场激励型环境规制对中国能源福利绩效的影响——来自碳交易试点政策的准自然实验证据

能源福利绩效的概念来源于生态福利绩效,旨在衡量能源消耗所带来的经济性和非经济性综合福利产出,提高能源福利绩效水平是实现可持续发展的重要手段之一。基于中国30个省份2009—2019年的面板数据,以中国实施的碳交易试点政策为准自然实验,探究市场激励型环境规制对中国能源福利绩效的影响并检验其影响机制。结果表明,碳交易试点政策对能源福利绩效具有显著的影响作用,并且这种影响作用存在明显的区域异质性,对东部和中部影响显著,对西部影响不显著。碳交易试点政策可以通过技术创新和产业结构升级对能源福利绩效产生影响且影响效果具有明显的滞后性,滞后期为2年。最后基于研究结果,对未来的碳交易市场建设和能源福利绩效的提升提出一定的政策建议。     

基于GARCH模型的上证综合指数波动性分析

使用GARCH模型对上海证券交易所综合指数2006年7月3日—2011年11月17日的每日收盘价进行数据分析。分析结果表明:我国股市日收益率具有明显的异方差性、波动性、聚集性、持续性和杠杆效应。这表明外部因素对股市的冲击很大,收益率与风险不一定成正比。     

中国碳市场与EU 碳市场价格波动溢出效应研究

本文采用2014 年7 月 ～ 2017 年4 月欧盟排放市场组织 （EU） 以及中国7 个主要碳排放权交易市场碳交易现货价格的对数收益率的月度平均数据， 采用 DCC-MGARCH（1，1）模型， 尝试分析两个市场之间的价格波动溢出效应。 结果表明： （1） 两个市场均存在集聚效应， 但欧盟市场集聚特征和价格波动幅度更显著； （2） 两个市场间存在长期均衡和相互引导关系， 但这种影响存在非对称效应， 欧盟市场对中国市场溢出效应更明显； （3） 欧盟市场对外界反应更为敏感， 其价格高低相随明显。 但当欧盟碳交易价格出现急剧变化时， 中国碳交易价格波动幅度较之欧盟更大， 这在一定程度上说明中国碳市场仍较为脆弱。 建议加强全国统一性市场的建立， 完善价格监管机制， 避免价格波动对国内产业结构调整和低碳产业发展产生影响。     

碳金融的政治经济学研究

《京都协议书》的签订使碳交易市场逐步扩大并走向成熟。而随着碳交易的市场化,各种金融衍生品也相继出现。这些金融衍生品加速了碳金融的流动,但也是对新一轮的财富进行切分。作为后起之秀,中国如何在世界碳金融交易中占据优势地位发人深思。面对国内的碳交易现状,中国应如何把握好整体与部分之间的利益分配,统筹全局,也是值得我们进行思考的。     

构建中国钢铁行业六维碳资产管理体系

工业革命后温室气体的大量排放,导致全球平均气温升高,由此带来的气候异常给人类的生存造成了巨大的潜在威胁。我国提出的双碳目标是为构建人类命运共同体做出的一项庄严承诺。通过构建全国碳交易市场可使高载能行业加快碳达峰和深度脱碳的进程,由此产生的大量企业碳资产需要得到合理的管理和利用,构建面向企业的碳资产管理体系势在必行。阐述了碳交易的经济学原理,同时通过对全国碳交易市场产品要素特点的分析,结合这些产品在资本市场里的流转规律,以钢铁行业为例,构建了以低碳管理、资产开发、市场交易、碳中和综合服务、碳金融和行业研究的六维碳资产管理体系,这将为企业开展好碳资产管理提供有力的抓手和明确的工作方向。     

气候政策不确定性变化与能源市场收益率——基于条件分位数的证据

在全球应对气候变化，并向低碳能源转型的过程中，气候政策的不确定性越来越成为影响能源市场回报的重要因素。本文采用全球主要能源市场的历史收益数据和气候政策不确定性数据，通过QVAR模型构建基于不同条件分位数的溢出指数，研究了气候政策不确定性变化与能源市场收益率在整个条件分布上的关联性并分析左右尾部的溢出特征。结果表明：在不同条件下，气候政策不确定性变化对能源市场收益率存在差异性影响，极端状态下为能源市场回报溢出效应的净接收方，正常状态下则为净输出方。气候政策不确定性变化与能源市场回报总溢出效应由中间分位点向左右尾部逐渐提升，且溢出指数在整个条件分位数上呈现出U型结构。随着冲击规模增加，气候政策不确定性变化与能源市场回报的左右尾部溢出传染效应增强，且在极端上行与极端下行状态表现出非对称性影响。     

GARCH型过程控制图在汇率市场预警监控中的应用

金融数据常被用来进行金融市场预测和决策,本文从控制图角度出发,对汇率市场收益率采用AR、MA、ARMA和GARCH四类模型比较研究,最终使用异方差模型建立控制限随时间变动控制图.文中数据来源于2000～2008年美元兑日元汇率共2731个日收盘价,利用对数收益率方法,建立GARCH(1,1)型休哈特控制图.具体解释2008年超出控制限的时点所体现的宏观经济、政治等事件影响以及微观个人行为因素,此类控制图较好的监测出宏微观因素所致的汇率市场波动性.     

Price changes and trading volume relationship in the Hong Kong stock market

Studies on the relationship between price changes and trading volume can provide insight into the structure of the financial market. In this paper, we will study the above topic and concentrate on the stock market of Hong Kong. The correlation between price changes and trading volume as well as that between the magnitude of price changes and trading volume will be examined. We will also check the asymmetry of the price changes and volume relationship. Moreover, we will investigate the relationship between the variance of return and trading volume. Finally, the Granger causality test of price changes and volume will be performed.     

Profitability of Office Rental Market in Seoul: An Application of Simultaneous Structural Equations

This article is concerned with the estimation of excess rates of return on the office rental market in Seoul using a simultaneous structural equation model. The office rental market in Seoul is spatially divided into CBD and non-CBD, and the model has three behavior equations of Chonsei price, monthly rent and key deposit, with two identity equations of conversion rate and excess rate of return. This article reveals that it would be rational for the owners to ask tenants for a higher deposit with a lower monthly rent under increasing interest rates because the interest rate has a positive effect on the Chonsei deposit and the key deposit, but a negative effect on the monthly rent. Although high nominal interest rate and low economic growth reduce the excess rate of return on both submarkets, the non-CBD office rental market would be more profitable than the CBD market despite lower levels of the monthly rent and key deposit.     

Martingale property in bond futures return including volatility spillover effect from bank bill futures

This paper analyses the time series properties of the daily return from the ten-year bond futures contracts traded on the Sydney Futures Exchange (SFE), together with the transmission of volatility from other interest rate futures contracts. The methodology relies on appropriate modelling of the conditional heteroscedasticity observed in the futures price change series. It is then evident that the volatility spillover effect exists from the short-term bank bill futures to the ten-year bond futures and not the other way. This suggests that the traders attempt to make inferences from price movements in other interest rate futures contracts which ultimately impinge upon the price movement in the bond futures contracts. It is indicative of the expectation theory of the term structure.The author is Lecturer in Finance in the School of Finance and Economics, University of Technology, Sydney.     

Real Estate Returns and Risk with Heterogeneous Investors

This article develops a theoretical framework and formulates a unified risk metric that integrates both real estate price risk and uncertainty of time on market (TOM). We demonstrate that real estate sellers with different degrees of financial distress face not only different marketing period risks, but also receive different return distributions upon successful sales. The major findings of this article can be summarized as follows. First, we show that real estate return and risk, which account for both price and TOM risk, are investor specific, varying over investors with different financial circumstances and holding periods. Second, the traditional valuation of real estate return and risk, which is based solely on the return distribution of a successful sale without considering the uncertainty of TOM and the investor's financial circumstances, underestimates real estate risk and exaggerates real estate return. Third, our empirical applications in both residential and commercial real estate markets show that the Sharpe ratio estimated by the traditional approach is seriously overstated—to the largest extent for investors with high financial distress. In addition, we find that, given the typical 5‐ to 7‐year holding period for real estate, the Sharpe ratios estimated by integrating both price and TOM risk are much in line with the performance of financial assets. These findings can help to explain the apparent “risk‐premium puzzle” in real estate.     

Modeling beef supply response and price volatility under CAP reforms: The case of Greece

This study examines the supply response of the Greek beef market and the possible effect of the European Union’s Common Agricultural Policy (CAP) on the Greek beef sector during the period 1993–2005. A Generalized Autoregressive Conditional Heteroskedasticity (GARCH) process is used to estimate expected price, and price volatility, while several different symmetric, asymmetric and non-linear GARCH models are estimated. The empirical results show that price volatility and feed price are important risk factors in the supply response function, while the negative asymmetric price volatility that was detected implies that producers have a weak market position. Furthermore, the empirical findings confirm that the annual premium paid by the EU to beef producers had a positive impact on the production level and also, the change of the EU price support regime, after 2006, is having negative effects on beef production level in Greece.     

U.S. Office Market Values During the Past Decade: How Distorted Have Appraisals Been?

The leading time series of real estate returns is the Russell-NCREIF (RN) Property Index. The RN series tracks returns, cash flow plus appraised capital gains, for multiple property types. To evaluate the accuracy of the capital-gains component of the office-market return series, this paper constructs two benchmark measures for the present value of projectable office-market cash flows from 1982 to 1991 and compares these with a real value series based on the RN capital-gain component. The RN-based series runs 30% above the highest of the benchmarks throughout the 1986–1989 period. While this overstatement is consistent with the development of a price bubble, failure of the bubble to burst until 1990–1991 is implausible. Real estate experts recognized overvaluation in assessments as early as the spring of 1986.
The RN Office-Market Index was slow to register price declines when the markets first weakened and then overstated the rate of decline once the market began to bottom out. This pattern likely reflects incentives for appraisers to smooth potentially temporary price volatility and for investment managers to maintain appraised values in declining markets. It traces as well as to systematic differences in the character and condition of the properties that lend to trade at different stages of the real estate cycle. These incentives and differences provide reason to believe that other RN indexes were similarly distorted.     

权力市场下的腐败机制和治理研究

本文首先介绍了在腐败研究领域具有代表性的寻租理论和制度经济学理论．总结了前人的研究成果。面对中国目前腐败形势日益严峻的现状，以往经济学家一般采用静态分析，较少能从经济学角度对此现状作出合理的解释，本文另辟途径，引用权力市场概念，建立动态模型进行分析，通过货币成本、资本边际效用、风险幻觉和道德成本四者相互作用导致腐败价格变化这一基础理论，对权力市场逐步递进研究，试图解释腐败日益猖獗的原因所在，并提出相应的治理措施。     

Market Efficiency and Return Statistics: Evidence from Real Estate and Stock Markets Using a Present-Value Approach

This paper develops a methodology to identify asset price response to news in the framework of the Campbell–Shiller log-linear present-value equation. We further show that a slow price adjustment in real estate markets not only induces a high serial autocorrelation in excess returns, but also dampens the return volatility and the correlation with excess returns in other asset markets. Using Hong Kong real estate and stock market data, we find that the quarterly real estate price assimilates only about half the effect of market news, whereas the quarterly stock price incorporates the news fully. Our analysis identifies a cumulative price adjustment that recovers lost information in real estate returns due to market inefficiency and thereby restores the real estate return volatility and the correlation between real estate and stock markets.     

A Model of Time‐on‐Market and Real Estate Price Under Sequential Search with Recall

This article develops a model and provides a closed‐form formula to uncover the theoretical relationship between real estate price and time on market (TOM). Our model shows a nonlinear positive price‐TOM relationship, and it identifies three economic factors that affect the impact of TOM on sale price. We demonstrate that conventional metrics for real estate return and risk, which are borrowed in a naïve fashion from finance theory, do not account for marketing period risk and tend to overestimate real estate returns and underestimate real estate risks. Our model provides a simple way to correct such bias. This theory helps to explain the apparent “risk‐premium puzzle” in real estate.     

市场歧视、区际边界效应与经济增长

跨区域商品价格差被认为是研究国内区际贸易的有力替代指标,本文以我国12个样本城市六大类商品价格为考察对象,回归结果显示,除了距离等控制因素外,樊纲指数和政府支出占GDP的比率较好地解释了我国六大类商品价格偏差的边界效应,说明市场化进程落后的地区更可能筑起商品贸易的政策壁垒,而具有父爱意识的政府在高财政支出比率情形下更有能力实施保护战略,验证了本文的边界效应假说。实证还获取了两个层次的边界效应(包括品类边界效应和省份边界效应),并作为市场一体化指标被纳入本文的经济增长方程进行回归;改革和开放两变量控制后,结果显示地方保护壁垒造成的省际市场分割,影响到保护战略实施省份的自身经济绩效。