EU ETS And Domestic Carbon Price Volatility Characteristics Research

In response to the challenges posed by global climate warming,the international community has taken a series of measures to address the adverse effects of climate change.Carbon emissions through the form of rules and regulations can be identified as flexible trading financial assets,the enterprise external cost into internal cost,makes carbon trading effective reduction method,is also a right of Coase Theorem is a successful application.The European commission was established in 2005 the European Union’s emissions Trading system(EU ETS)is the world’s largest and most mature carbon Trading system,the system is dedicated to helping its members to perform in the Kyoto protocol commitments made.China has also launched seven pilot carbon trading operations in 2011.Based on the EU ETS wish exchange,the European climate exchange in the three stages of spot prices and domestic carbon quotas in Hubei province,Shenzhen,Shanghai and Beijing four carbon pilot spot price data as the research object,To explore and compare the volatility characteristics of EU ETS and domestic carbon trading price.Ensemble Empirical Mode Decomposition method for the European Union and domestic pilot carbon price decomposition reconstruction for high frequency,low frequency and trend component frequency of three levels,from different frequency levels to explore the carbon price volatility characteristics.Using wavelet analysis tools to detect singular point of the carbon price fluctuations,to find the external impact of abnormal volatility in the price impact of events,and effects of the event for further inspection,analysis from the perspective of time-frequency domain combining carbon price volatility.Research shows that:(1)using the aggregation empirical mode decomposition method the carbon price decomposition reconstruction after analysis that reflect high frequency component amplitude smaller part time series,the low frequency component reflects the larger part of the time series of amplitude,so,the impact of external events always correspond to time series low frequency component;(2)the wavelet analysis tool can precisely find the singularity of the volatility of carbon price volatility,and successfully detect the specific location and corresponding time of external shocks;(3)China’s pilot carbon price is mainly driven by the implementation mechanism,and its carbon market mechanism is not mature with the EU carbon trading system,and the carbon market needs to be further improved.