不完全市场下碳配额期货定价研究

The carbon allowance futures are one of the most important derivatives in the carbon allowances market. Once their prices are distorted, it will inevitably affect the realization of low-cost emission reduction targets. Therefore, accurate pricing of carbon allowance futures is the basis for the effective operation of the carbon market. The allowance market displays incompleteness. However, the existing research usually adopts the pricing method under the assumption of complete market, which is inconsistent with reality. This project will study the pricing problem of the carbon allowance futures under the incomplete market from the following three perspectives. First, we will explore the characteristics of carbon allowance prices, jumps, mean reversion and volatility instabilities, and we will model carbon allowance prices by stochastic models that empirical analyses will be done to reveal the laws of dynamic price behaviors of carbon allowances. Second, under the rules in the market trading mechanisms including the borrowing restrictions, punishment programs and the offset mechanism, we will price the carbon allowance futures by benchmark approach under Growth Optimal Portfolio taking into account the models of the interest rates and the convenience yields, and then carry out the empirical studies to verify the effectiveness of the theoretical models. Third, we will carry out the numerical simulations in order to reveal the main factors affecting the prices of carbon allowance futures, then to provide theoretical reference for the choices of the pricing mechanism and pricing model of China carbon allowances future market. The research project will provide a deeper understanding in the price pattern of carbon financial products and enrich the pricing theory of carbon futures. It also has important scientific significance to provide references for the carbon market participants.

碳配额期货是配额市场中最重要的衍生产品之一，一旦其价格产生偏误，必然会影响低成本减排目标的实现，因此对其准确定价是碳市场有效运行的基础。配额市场呈现出不完全性，但现有研究通常采用完全市场假设下的定价方法，与现实不符。本项目利用基于增长最优组合的基准方法，从三个方面研究不完全市场下的碳配额期货定价问题：①归纳碳配额价格的跳跃、均值回复和波动率的特征，构建随机模型进行系统性刻画，并进行实证检验；②在碳配额价格模型基础上，考虑借贷限制、惩戒制度、抵消机制等约束条件，对利率、便利收益率等变量建模，运用基准方法推导出具有普适意义的碳配额期货定价解，并实证检验理论模型的拟合与预测能力；③通过数值仿真，揭示影响碳配额期货价格的主要因素，为中国碳配额期货市场定价机制和定价模型选择提供理论参考。本项目在更深刻认识碳金融产品价格规律、丰富碳期货定价理论，并为碳市场参与主体提供投资参考等方面具有重要的科学意义。

碳配额期货是最重要的碳金融衍生产品之一，其价格研究是碳金融领域的关键问题。本项目应用随机微分方程、计量经济学、统计学、随机优化、复杂网络等理论方法，获得主要研究成果如下：基于模糊熵的碳市场信息效率指标分析了中国碳试点市场的信息效率及其动态变化；建立适合中国碳市场价格的随机波动率模型探究了碳价格的杠杆效应；研究了经济政策不确定性对欧盟碳现货和碳期货市场的价格波动以及两者间相关性的影响；揭示了欧盟排放交易体系不同阶段下碳期货与碳现货之间的相依性和碳市场集成风险的动态演变；分析了欧盟碳配额现货与碳期货价格之间的非线性均值溢出效应和波动溢出效应；探明了欧盟碳期货市场和煤炭、石油、天然气以及可再生能源市场的波动溢出效应；揭示了中国试点碳市场的价格结构变化特征和结构性变点的成因。本项目取得了一系列具有创新性的研究成果，已在国内外期刊发表标记本项目基金号的论文16篇，其中13篇被SCI或SSCI检索，在《系统工程理论与实践》等中文重要期刊上发表论文3篇，还有多篇论文处于投稿和审稿阶段，学术著作正在出版中；培养了18名硕士研究生，指导学生获得省级优秀硕士论文、国家级大创项目等奖励16项。本项目形成的原创性科学研究成果丰富了金融资产定价和风险管理理论，为减排企业和金融机构提供有效投资参考，也为监管部门政策制定提供决策支持，对于我国统一碳排放市场的发展与完善具有重要的现实意义。