| Global warming has seriously influenced human production and living. Now countries in the world are trying to seek the path to conserve energy and reduce emissions. The United Nations Commission on Environment and Development put forward and established the carbon market in order to limit greenhouse gas emissions;which provides a new kind of market-oriented way for carbon emissions reduction. At present, many scholars have proved that there are influence mechanisms between energy market and carbon market. It is very significant for seeking way of emissions reduction to explore the influence of energy market on carbon market, and accumulate experience for the construction of the carbon market in China. Therefore, this paper started from the energy price, on the premise of analysis of theoretical relationship between energy price and carbon price, using of various statistical methods to analyze the comprehensive effect of energy price on carbon price in system.Specifically, the method of literature analysis was used to define the energy price and carbon price, and the method of descriptive statistical analysis was used to analyze their changes and characteristics. The empirical methods were used to analyze the relationship between energy price and carbon price based on above. Firstly, the dynamic relationship between energy price and carbon price was analyzed by the methods of DCC-MVGARCH. Secondly, the methods of impulse response model and variance decomposition were used to analyze the effect of different energy on carbon emissions. Then measuring the influence of energy price to carbon price for each point based on state space model. Finally, analyzing the effect that events have on the relationship between energy price and carbon price by adding virtual variable.The conclusions were as followed: firstly, the carbon price and energy price fluctuation have the characteristic of aggregation; fluctuations in the carbon and energy markets have persistence characteristics; previous fluctuations have positive impacts on future fluctuation; and all are vulnerable to messages outside the system.Among them, volatility in the oil market is the strongest,followed by the coal and natural gas markets; the lowest volatility occurs in the carbon market. There is a positive correlation between fluctuations in the carbon market and fluctuations in each energy market. According to relevant values,the coal price and natural gas price can affect the carbon price directly. The dynamic conditional correlation of the coal and natural gas prices to the carbon price fluctuates due to the influence of the macroeconomic environment, while the fluctuation range of dynamic conditionalcorrelation of the oil price to carbon price is very small. These data indicate that the dynamic conditional correlation between the carbon market and oil market is stable,and the relationship between them is hardly affected by other macroeconomic factors,proving that the influence of the oil price on the carbon price is not direct.The result of state space model has proven that there was positive impact of energy price and carbon price again. The parameter of the effect of coal price to carbon price is stable,while the effect of coal price to carbon price was fluctuated remarkably. It recovered rapidly after promptly fell of one year, which growing more than coal. Contrast that with oil price, it has little impact on carbon price.Secondly, among the three energy sources, coal price appears the most significant factor for carbon price change,affecting the carbon price for the longest time, and the effect on natural gas price brings positive influence on the carbon price. In the short time, the effect on oil price bring negative impact on the variability of carbon price, which is tend to stable in the long time. As for the contributors of carbon price change, coal price ranks the first with the contribution rate 19.86%, oil with 3.42% and gas price with 3.16%. Finally,volatility of carbon prices and energy prices is influenced by many factors, the relationship will be changed by the impact of events. By using dummy variable regression analysis, it shows financial incidents and political events don’t affect the stability of the relationship between carbon prices and energy prices, but natural disaster and United Nations Climate Change Conference have significant impact on the relationship.Nowadays, the energy price requires more and more attention, the mechanisms of energy pricing and price should be improved further. And we should expedite the construction of energy reserves. At the same time, enhancing the ability to respond to emergencies shocks by adjusting the industrial structure and energy consumption structure, as well as developing new energy. |
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