| 碳贸易价格风险变动趋势与我国CDM发展策略 |
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| 引用本文： | 王家玮,伊藤敏子.碳贸易价格风险变动趋势与我国CDM发展策略[J].国际贸易问题,2011(10). |
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| 作者姓名： | 王家玮 伊藤敏子 |
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| 作者单位： | 对外经济贸易大学国际经济贸易学院金融学系; |
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| 基金项目： | 国家社会科学基金(项目编号:08BJY155); 北京市教育委员会共建项目基金; 对外经济贸易大学研究生科研创新基金(A201004004)的资助 |
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| 摘 要： | 本文构建并拟合了包含分布转换的Markov-GARCH模型,计算了基于该模型的风险价值(VaR),对国际碳贸易市场价格风险变动趋势进行了分析。研究结果表明:碳贸易市场价格在均值、方差、峰度、波动聚集性以及分布形式方面都具有机制转换的特性;欧盟推出的EU ETS改革措施将促使未来碳贸易市场价格波动风险进一步降低。我国应当适时提高CDM合同最低限价;减少向CDM合同国际买方支付的风险溢价;暂停上马HFC-23和N2O分解类项目;加快国内碳贸易和碳金融市场的发展,争夺国际碳贸易市场定价权。
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| 关 键 词： | 碳贸易 碳排放权 机制转换 Markov-GARCH模型 |
Risk Changing Trend of Carbon Trade Price and Developing Strategies of Chinese CDM |
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| WANG Jia-wei Toshiko Ito.Risk Changing Trend of Carbon Trade Price and Developing Strategies of Chinese CDM[J].Journal of International Trade,2011(10). |
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| Authors: | WANG Jia-wei Toshiko Ito |
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| Institution: | WANG Jia-wei Toshiko Ito |
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| Abstract: | This paper constructs a Markov-GARCH model containing distribution switching and compute VaR to study the trend of price risk.It is proved that there exits regime-switching in the mean,variance,kurtosis,clustering and even distribution in the market price of carbon emissions.More importantly,some reform policies will be implemented by EU.They will help lower the risk of the price of the carbon market.Chinese government should put up the price floor,prohibit HFC-23 and N2O CDM projects and develop domestic c... |
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| Keywords: | Carbon trade Carbon emission rights Regime-switching Markov-GARCH model |
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