中国碳排放试点市场碳交易价格分析及预测

对试点市场碳价格分析结果表明:①试点市场碳价格平均水平相差较大,各市场数据均出现尖峰厚尾、波动率集聚、多重分形特征;②试点市场月均价分析过程中,发现新的碳排放市场的建立会对各个碳市场交易价格有提升作用,免费碳排放配额比例的适当调整有利于碳排放配额交易价格下降,碳排放市场核算与核查体系的逐步完善会使碳排放配额交易价格趋于平稳。本文采用马尔科夫转换多重分形模型对碳价格进行预测,得出了准确度较高的结果。

Analysis and forecast of carbon trading price in China's carbon emission pilot market

The results show that the average level of carbon price in each pilot market is quite different. The data of each carbon market show the characteristics of peak thick tail distribution, volatility concentration and multifractal. In the process of analyzing the monthly average price of carbon in China, it is found that the establishment of a new carbon emission market will improve the transaction price of each carbon market, and the proper adjustment of the free carbon emission quota proportion will help to reduce the transaction price of carbon emission quota, and the gradual improvement of the accounting and verification system of carbon emission market will make the transaction price of carbon emission quota stable. At present, the GARCH family model commonly used can not reflect multifractal characteristics, which is easy to lead to estimation bias. In this paper, Markov transform multifractal (MSM) model is used to predict and analyze the carbon market, and the result with high prediction accuracy is obtained, which is of reference significance for policy-making and the formation of national carbon emission price.