人民币汇率对中国各区域碳价冲击效应的研究——基于VAR模型
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摘要
碳交易市场是平衡经济发展与生态环境的重要手段,目前中国各省份碳市场仍处于各自交易的阶段,在世界经济体联系加强的背景下,人民币汇率变动将对各地碳价具有不同程度的冲击效应。通过ADF单位根检验、JJ检验验证数据的平稳性及长期均衡关系,构建VAR向量自回归模型,基于Granger因果关系检验、脉冲响应函数以及方差分解结果,发现人民币汇率与深圳、湖北碳价存在Granger因果关系,对其冲击影响较大。在检验结果的基础上,为使碳市场能够持续健康发展,从提高企业自觉性、完善碳市场定价机制、合理运用政府调控3个方面提出相关建议。
The carbon trading market is an important means to balance economic development and ecological environment. At present, the carbon markets of various provinces and cities in China are still at the stage of their respective transactions. However, with the ever strengthening links among world economies,the fluctuation of RMB exchange rate will have different degrees of impact on local carbon prices. Therefore, by means of ADF unit root test and JJ test,the paper verifies the data stability and long-term equilibrium relationship. The VAR vector autoregressive model is constructed, after which the paper takes Granger causality test, impulse response function and variance decomposition results as the basis to conclude that the RMB exchange rate has a Granger causal relationship with carbon prices in Shenzhen and Hubei, which causes a great impact. Accordingly, the paper puts forward relevant suggestions from three aspects: improving corporate consciousness, improving carbon market pricing mechanism, and rationally applying government regulation with the aim to make the carbon market healthy and sustainable.
The carbon trading market is an important means to balance economic development and ecological environment. At present, the carbon markets of various provinces and cities in China are still at the stage of their respective transactions. However, with the ever strengthening links among world economies,the fluctuation of RMB exchange rate will have different degrees of impact on local carbon prices. Therefore, by means of ADF unit root test and JJ test,the paper verifies the data stability and long-term equilibrium relationship. The VAR vector autoregressive model is constructed, after which the paper takes Granger causality test, impulse response function and variance decomposition results as the basis to conclude that the RMB exchange rate has a Granger causal relationship with carbon prices in Shenzhen and Hubei, which causes a great impact. Accordingly, the paper puts forward relevant suggestions from three aspects: improving corporate consciousness, improving carbon market pricing mechanism, and rationally applying government regulation with the aim to make the carbon market healthy and sustainable.
引文
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[2]张晨,彭婷,刘宇佳.基于GARCH-分形布朗运动模型的碳期权定价研究[J].合肥工业大学学报(自然科学版),2015(11):1553-1558.
[3]Blyth W,Bunn D, Kettunen J, et al. Policy interactions,risk and price formation in carbon markets[J].Energy Policy, 2009(12):5192-5207.
[4]Fan R, Dong L. The dynamic analysis and simulation of government subsidy strategies in low-carbon diffusion considering the behavior of heterogeneous agents[J]. Energy Policy, 2018(117):252-262.
[5] Michael Jakob. Can carbon pricing jointly promote climate change mitigation and human development in Peru?[J]. Energy for Sustainable Development, 2018(44):87-96.
[6]谢富胜,程瀚.碳市场能解决气候变化问题吗?--基于政治经济学视角的分析[J].教学与研究,2014(7):20-27.
[7]Kim H S,Koo W W. Factors affecting the carbon allowance market in the US[J]. Energy Policy, 2010(4):1879-1884.
[8]易兰,杨历,李朝鹏,任凤涛.欧盟碳价影响因素研究及其对中国的启示[J].中国人口·资源与环境,2017(6):42-48.
[9]陈欣,刘明,刘延.碳交易价格的驱动因素与结构性断点———基于中国七个碳交易试点的实证研究[J].经济问题,2016(11):29-35.
[10]郭文军.中国区域碳排放权价格影响因素的研究———基于自适应Lasso方法[J].中国人口·资源与环境,2015(S1):305-310.
[11] Ji C J, Hu Y J, Tang B J. Research on carbon market price mechanism and influencing factors:a literature review[J]. Natural Hazards, 2018(3):1-22.
[12]王倩,路京京.人民币汇率对中国碳价的冲击效应———基于区域差异的视角[J].武汉大学学报(哲学社会科学版),2018(2):157-165.
[13]李子奈,叶阿忠.高级应用计量经济学[M].北京:清华大学出版社,2012.
[14]钟世和,曾小春.碳排放权价格对我国能源价格及物价波动的影响研究[J].西北大学学报(哲学社会科学版),2014(6):139-145.
[15]高海岩,胡欢欢.市场化、企业异质性与区域经济周期性波动[J].湖南财政经济学院学报,2017(3):58-65.