EUA和CER的不对称时变依赖和变结构依赖测量与分析

IF 2.4 4区 工程技术 Q3 ENERGY & FUELS International Journal of Low-carbon Technologies Pub Date : 2023-05-10 DOI:10.1093/ijlct/ctad036
Xing Yang, Yijing Ye, Jia-wen Li, Jun-long Mi
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引用次数: 0

摘要

本文利用欧盟排放交易系统2008-2011年的价格波动数据,分析了欧盟配额(EUAs)与核证减排量(CERs)之间的时变依赖性和结构依赖性。研究发现:(1)EUAs与CER之间存在较强的非线性溢出关系。从2008年3月14日到2012年3月16日,EUAs和CER的时变依赖值大多在0.6到1之间,平均依赖系数为0.86,显示出较强的相互依赖性。从2012年3月17日到2017年1月2日,它们之间的相关性大多在0.6以下,平均依赖系数降至0.25。这表明,现阶段EUA期货和CER期货之间的依赖性非常低。然而,总体而言,依赖性的平均值在0.55以上,即它们之间存在依赖性。(2) 从2008年3月14日到2017年1月2日,EUA和CER产量序列共有12个结构突变点。四个突变点后,依赖系数增加,结构依赖性增强。同时,在8个突变点后,依赖系数降低,结构依赖减弱。总体水平保持在0.6以上,表明存在结构性依赖。(3) EUA和CER价格的突然变化与重大政策的颁布和不可预测的紧急情况密切相关。前者导致碳价格小幅波动。当变化期很短,复苏很快时,就会导致碳价格大幅波动。当变化持续时间长,恢复缓慢时,其产生的影响远远超出了重要信息的发布范围。
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Asymmetric time-varying dependence and variable structure dependence measurement and analysis of EUA and CER
This paper analyzed the time-varying dependence and structural dependence between EU allowances (EUAs) and certified emission reductions (CERs) by using price fluctuation data from 2008 to 2021 on EU ETS. It was found that (1) there was a strong nonlinear spillover relationship between EUAs and CERs. From March 14, 2008 to March 16, 2012, the time-varying dependence values of EUAs and CERs were mostly between 0.6 and 1, and the mean coefficient of dependence was 0.86, showing a strong interdependence. From March 17, 2012 to January 2, 2017, the correlation between them was mostly below 0.6, and the mean coefficient of dependence fell to 0.25. This indicates that the dependency between EUA futures and CER futures was very low at this stage. However, in general, the mean value of dependence was above 0.55, that is, there was a dependency between them. (2) From March 14, 2008 to January 2, 2017, there were twelve structural mutation points in EUA and CER yield sequences. After four mutation points, the dependence coefficient increased, and the structural dependence enhanced. Meanwhile, after eight mutation points, the dependence coefficient decreased and the structural dependence weakened. The overall level remained above 0.6, showing the existence of structural dependence. (3) Abrupt changes in EUA and CER prices were closely related to the promulgation of major policies and unpredictable emergencies. The former caused carbon prices to fluctuate slightly. When the period of change was short and the recovery was rapid, it caused sharp fluctuations in carbon prices. When the duration of change was long, and the recovery was slow, it yielded impacts that extend far beyond the publication of important information.
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来源期刊
CiteScore
4.30
自引率
4.30%
发文量
106
审稿时长
27 weeks
期刊介绍: The International Journal of Low-Carbon Technologies is a quarterly publication concerned with the challenge of climate change and its effects on the built environment and sustainability. The Journal publishes original, quality research papers on issues of climate change, sustainable development and the built environment related to architecture, building services engineering, civil engineering, building engineering, urban design and other disciplines. It features in-depth articles, technical notes, review papers, book reviews and special issues devoted to international conferences. The journal encourages submissions related to interdisciplinary research in the built environment. The journal is available in paper and electronic formats. All articles are peer-reviewed by leading experts in the field.
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