Study On The Pricing Of The Mean Reversion For EU ETS Carbon Futures And Its Empirical Analysis

Global climate change has caused a series of extreme weather events and environmental issues, which has brought a huge impact of sustainable development of human society, and has caught the international community’s attention. Being one of the methods to be market-oriented, emission permits trade of carbon has been one of the economics categories of global climate change, which has frequently discussed in recent years. And one of its important propositions is how to understand and solve the problem of emission permits trade of carbon from the perspective of economics and adopting economics approaches, which essentially has a positive meaning to mitigate climate change. China is a developing country, and has not made the commitment to reducing emissions under the first period of commitment to emission reduction obligations in the’Kyoto Protocol’. But from the current point of view, China has ranked first at the volume of carbon emissions. And China also has a large number of extensive industry with huge pressure reduction of carbon emissions. What’s more, particularly in2020, China may take emission reduction tasks, so the outlook is not optimistic. Therefore, China should learn the main mode of operation and experience from the current international carbon market, and then build China’s carbon emissions trading market with our own national conditions.Carbon emission price is the core issue of carbon emission trade. This paper studies the price volatility of carbon emissions cause at first, founding that government regulation, energy prices, weather conditions, information disclosure and other factors all contribute to the price fluctuations of carbon emissions. Second, using the theory and method of mean reversion, this paper studies the rules of the carbon emission price in current market. And taking the data of the carbon emissions futures in EU emissions trading system as example, the paper analyzes the conclusion that whether the price is in line with the mean reversion. Study found that EU ETS carbon price of futures contracts through the unit root test and autocorrelation test proved to be qualified. It may be in line with the mean reversion. But, the variance ratio test showed that, it is not. Finally, this paper try to design a system of China’s provincial carbon trading at the premise of the status quo of China’s carbon emissions with a view to provide a reference to our formation and development of carbon markets.