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Interaction relationship between international carbon future price and domestic carbon price. (Chinese. English summary) Zbl 1424.91148
Summary: The rapid increase of carbon emissions has brought serious environmental problems and restricted the sustainable development of the economy and society. The use of market mechanism to achieve emission reduction has become the main control path of carbon emissions. With the continuous development of carbon market at home and abroad, foreign carbon futures market will inevitably affect the price formation mechanism of the domestic carbon spot market, and the specific interaction between them is of great importance for rational investment and risk aversion. We selected the data between December 2013 and October 2017 from the international carbon futures price and the domestic price of carbon. VAR model was constructed on the basis of cointegration and Granger causality test, and the impulse response function and variance decomposition were used to analyze the mutual influence between the international carbon futures price and domestic carbon price. The results show that there is a long-term stable relationship between international carbon futures price and domestic carbon price, showing a significant one-way causality. Due to the lacks of pricing power, the domestic carbon market has a weak influence on the international carbon futures market and is in a passive position.
MSC:
91G20 Derivative securities (option pricing, hedging, etc.)
62P05 Applications of statistics to actuarial sciences and financial mathematics
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