Research On The Price Discover Function Of Carbon Emission Market

With the development of the industrialization, the amount of carbon dioxide emissions gradually increased. In recent years, the excessive emissions of greenhouse gases in many countries has brought the issue of global warming, which seriously affects human being’s life and production activities. In order to control global carbon dioxide emissions, the United Nations Climate Change Committee adopted the "Kyoto Protocol" in2005, and it regards carbon dioxide as a commodity that can be traded, providing three trading mechanisms. As a developing country, our nation can participate the carbon trading through the Clean Development Mechanism(CDM),and the emission reduction is CER. China has become the world’s largest supplier of CDM. However, the domestic carbon trading market is imperfect, and is lack of pricing mechanism, which results in inexpensive consequences when China participate in international carbon trading. General commodity futures price has price discovery function, namely guiding the spot price. My paper discusses whether futures price discovery exists in this new carbon trading market, and help to improve the pricing of carbon trading.The main work is as follows(1) Making analysis of current CDM development of China and international market, the result shows that the main reason of lacking pricing rights is the lack of our own carbon future market and do not take full advantage of the futures price discovery function;(2) Constructing CER futures price and the spot price for the variable vector auto-regression model (VAR), using the Granger causality test, co-integration test, and building Error Correction Models;(3) Using EU Climate Exchange data, making empirical analysis, the result shows both in the short and long terms, CER futures prices and spot prices has a correlation(4) When CER futures market has not been built in China, we should use of international carbon trading futures markets to improve the pricing rights, and introduce the necessity to build CER futures market. Finally from several aspects, the paper makes some advice of the construction of CER futures market.