EU Carbon Emissions Trading Market Price Discovery And Hedging Empirical Research

As the world gradually deepened awareness of the dangers for excess emissions ofgreenhouse gases, through international cooperation to jointly address climate change calls formore and more, reduction of emission limits become important means to solve globalwarming, national experts and scholars began to focus study, the market "invisible hand" toguide rationalization of emissions of greenhouse gases. Promulgated the "Kyoto Protocol" oncarbon dioxide emissions that makes real sense become a scarce commodity, and graduallybuilt up around its spot market and futures market, the establishment of a series of carbonemissions trading market to promote the solution to climate issues. Connotation andtheoretical basis of this paper, the carbon emissions trading are summarized, and select themost mature stage of development of carbon emissions trading market-EU carbon emissionstrading market carbon emissions futures products were studied and analyzed.This paper describes the theoretical basis for carbon emissions trading market, includingexternalities, property rights theory and the Coase theorem. Then describes the function andcalculation method of hedging rate futures markets. In this paper, the European carbon on thespot market as a research goal, the futures market for the two most important functions-pricediscovery and hedging empirical analysis. Based on the econometric model of vectorautoregression, carbon emissions trading market in EUA and CER spot price changes in therelationship between the empirical analysis, through the establishment of co-integration test,Granger causality test, vector error correction model, generalized impulse response functionand variance decomposition analysis framework progressive layers of carbon futures marketprice discovery function is verified. Although yet to be established at this stage of the carbonfutures market, but for the study of international talks futures prices for China’s future carbonfutures market has reference. This paper selects Europe Weather Exchange futures andEuropean Energy Exchange EUA EUA spot daily trading data as the study sample, theoptimal hedge ratio EUA futures were estimated using Eviews software to estimate the OLS,VAR, VEC, ARCH, IGARCH Expressions of five models, and calculate the optimal hedgeratio. Evaluate the effectiveness of the use of the proposed model Ederington five models ofoptimal hedge ratio calculated for evaluation. OTC stage accounted for the lion’s share of China’s carbon emissions trading market, dueto imperfect OTC mechanism, often causing emissions of carbon trading prices far belowinternational prices. How to take advantage of advanced international experience to establisha sound framework for market transactions, give full play to the market mechanismreasonably efficient allocation of resources has become a problem we have to think about. Inthis paper, the EU carbon emissions trading market as an example for the development of ourexploratory analysis, take advantage of carbon trading price discovery role of the proposedestablishment of CER futures markets.