贾君君,许金华,范英.欧盟碳排放权市场重大公告事件对碳价格的影响[J].中国科学院院刊,2017,32(12):1347-1355.

欧盟碳排放权市场重大公告事件对碳价格的影响

Impact of Pivotal Announcement Event on Carbon Price in European Union Emission Trading Scheme

贾君君
合肥工业大学 经济学院 合肥 230601;中国科学院科技战略咨询研究院 北京 100190
Jia Junjun
School of Economics, Hefei University of Technology, Hefei 230601, China;Institutes of Science and Development, Chinese Academy of Sciences, Beijing 100190, China
许金华
中国科学院科技战略咨询研究院 北京 100190
Xu Jinhua
Institutes of Science and Development, Chinese Academy of Sciences, Beijing 100190, China
范英
北京航空航天大学 经济管理学院 北京 100191
Fan Ying
School of Economics and Management, Beihang University, Beijing 100191, China

         碳排放权交易机制;国家分配计划公告;核证排放量公告;双边修正虚拟变量法;碳价收益率和波动率

        carbon trading scheme;national allocation plan announcement;verified emission announcement;bilaterally modified dummy variable modeling;carbon expected returns and volatility

        随着全球气候变化问题不断突出，建立碳排放权交易市场成为各国政府应对气候变化、控制温室气体排放的重要措施。作为新生市场，碳市场价格容易受到制度类重大公告事件的较大冲击。文章通过在传统AR-GARCH模型的均值方程和波动方程中加入双边修正虚拟变量，提出双边修正虚拟变量的事件研究方法；以欧盟碳市场国家配额分配计划（NAP）公告和核证排放量公告（VEA）事件为例，分析了重要公告的发布对碳价格的潜在影响。实证结果表明，双边修正虚拟变量方法可以有效捕捉公告事件对碳价收益率和波动性的事前、事后影响过程。国家配额分配计划公告对碳价收益产生了显著的正向影响，且表现出较长的事前影响。核证排放量公告在碳市场第一阶段对碳价收益产生了显著的事后负向影响，在第二和第三阶段对碳价收益产生了显著的事前和事后正向影响，且在两阶段对碳价波动性都没有显著影响。第一阶段的核证排放量信息为市场预期提供了准确参考，使第二和第三阶段的核证排放公告对碳市场的影响减弱。

        With the worsening of global climate change, establishment of carbon trading scheme has become an important option for governments to address the issue of climate change. As newly created market, carbon market is easily subject to the shocks from institution modification, rule adjustment, and vital information announcement. The research establishes an event study method through modeling bilaterally modified dummy variables in AR-GARCH model to unveil the ex ante and ex post impact process and impact pattern of the announcement event. The study takes National Allocation Plans (NAP) announcement and Verified Emission Announcement (VEA) event in the European Union emission trading scheme (EU ETS) as examples. Empirical results show that bilaterally modified dummy variables can efficiently capture the ex ante and ex post impact process of announcement event on expected carbon returns and volatility. The announcement of NAP I has significant positive impact on carbon returns, and has no significant impact on carbon price volatility. The announcement of VEA I has significant negative ex post impact on carbon returns and the announcement of VEA Ⅱ has significant positive ex ante and ex post impact on carbon returns. In addition, the announcements of VEA I and VEA Ⅱ have no significant impact on carbon price volatility. Compared with the impact of VEA I announcement, the impact of VEA Ⅱ announcement has decreased, mainly due to the fact that the verified emission of the first phase provides reliable data to calibrate expectations.