Research On The Futures Pricing Model And Simulation Of Green Certificate In China

The effective implementation of renewable portfolio standards(RPS)needs a complementary system,namely tradable green certificates(TGC)system.Under this system design,the trading of TGC is not only conducive to increasing the installed capacity of renewable energy,but also help to stimulate the renewable energy manufacturers to carry out technological improvement to reduce their power generation costs.However,as a financial asset,the price volatility of TGCs may induce price risks and inhibit renewable energy investment,thus affecting the growth of renewable energy installation.The implementation of green certificate futures trading not only provides market participants with a risk control tool to cope with market shocks,but also provides a reference for the initial pricing in the spot market,thus helping to reduce price risks and effectively improve the green certificate market.Based on the above background,this paper studies the pricing of green certificate futures and its influence on the long-term price of TGCs after the introduction of green certificate futures.Firstly,the internal logical relationship between RPS and TGCs system is elaborated,and the operation mechanism of spot market and futures market of TGCs is analyzed based on the theory of price formation and hedging.Secondly,construct cost-of-carry model and convenience yield model to make an empirical analysis on the actual transaction data of the TGC market.By comparing and analyzing the deviation degree between the theoretical futures price and the actual price of green certificate,the validity of the pricing model is evaluated.Finally,based on the above empirical analysis results,the system dynamics(SD)model of the TGCs market is built to simulate the changing trend of green certificate futures price under different dynamic quota adjustment level scenarios.The research results are as follows:(1)The establishment of green certificate futures market is conducive to the formation of a national unified green certificate market to form a reasonable price of green certificates.On the one hand.the launch of green certificate futures products helps to improve the activity of the TGCs market and enhance the liquidity of the market.On the other hand,the TGCs futures price can fully reflect the value of the green certificate,traders can adjust the forecast of the price trend accordingly,thus improving the accuracy of the price expectation.(2)Comparing the efficiency of the cost-of-carry model and the convenience yield model on the pricing of TGC futures,the former is more appropriate for the pricing of TGC futures.Using the cost-of-carry model to price the green certificate futures is more efficient,and the pricing biases of futures contracts are all less than 5%.Although the convenience yield of TGCs has the characteristics of call option,the fitting effect between the estimated value and the actual value is poor.(3)The spot price of TGCs has the same fluctuation trend as the futures price and present contango.At the beginning of the green certificate trading,both the spot and futures price fluctuate around the benchmark price.Then,they quickly rise to the price limit driven by supply and demand.After the price limit level had been maintained for some time,they continue to fall due to the oversupply in the TGCs market due to the large number of new installations being completed.Since then,they have shown a fluctuating trend under the game between the suppliers and demanders.(4)The higher the RPS proportion,the smaller the fluctuation of TGCs futures price.Under different RPS proportion scenarios,the change trend of TGCs futures price is consistent.However,in the scenario with a higher RPS proportion,the price of TGCs futures rises faster,so the earlier it will rise to the price limit and the longer it will stay at the price limit level.Therefore,setting a reasonable RPS proportion can play a role in slowing down the long-term price fluctuation of TGCs.