不同配额分配方式对中国碳交易市场运行的影响——基于流动性、波动性与有效性视角的考察

doi:10.18402/resci.2021.12.12

摘要/Abstract

摘要：

碳市场交易是通过市场机制降低碳排放量的有效方式,不同配额分配方式对碳交易市场运行的影响值得深入研究。本文以中国碳交易市场为例,选取北京、天津、广东、上海、福建和深圳6个碳交易试点地区为研究对象,采用流动性比率指标、对数收益率指标、随机游走过程以及双重差分模型,对不同配额分配方式下中国碳交易市场运行的流动性、波动性、有效性三方面进行分析。研究结论显示：①历史法下碳交易市场的流动性好于基准线法,提高拍卖法在混合配额分配方式中的占比也能提高碳交易市场的流动性。②基准线法、历史法和混合配额分配方式下碳交易市场的波动性均较小,提高拍卖法在混合配额分配方式中的占比会稍许增大碳交易市场的波动幅度。③混合配额分配方式比单一配额分配方式更有利于提高碳交易市场的信息有效性。④基准线法下的碳交易市场减排效果较好。本文研究结论揭示了不同配额分配方式对碳交易市场运行的影响,对制定更加科学的碳配额分配方式具有一定的启示意义。

关键词: 碳交易市场, 配额分配方式, 市场运行, 碳减排效果, 随机游走过程, 双重差分模型

Abstract:

Carbon quota trading is an effective way to reduce carbon emissions through market mechanisms, and the varied impacts of different allowance allocation methods on the operation of the carbon trading market deserve in-depth study. Taking the Chinese carbon trading market as an example, the liquidity ratio indicator, logarithmic rate of return indicator, random walk process, and difference-in-differences model were used to analyze the liquidity, volatility, and effectiveness of the Chinese carbon trading market under various quota allocation conditions.The results show that: (1) The liquidity of the carbon trading market under the historical method is better than the baseline method, and the liquidity of the carbon trading market can also be improved by increasing the proportion of auction in the mixed quota allocation method. (2) The volatility of the carbon trading market under the baseline method, the historical method, and the mixed quota allocation method is small. Increasing the proportion of auction in the mixed quota allocation method will slightly increase the volatility of the carbon trading market. (3) The mixed quota allocation method is more conducive to improving the information effectiveness of the carbon trading markets than any single quota allocation method. (4) The emission reduction effect of the carbon trading market is better under the baseline method. This study revealed the impacts of various allowance allocation methods on the operation of the carbon trading market, which is significant for the development of more scientific carbon quota allocation methods.

Key words: carbon trading market, quota allocation method, market operation, carbon reduction effect, random walk process, difference-in-differences model

王勇, 王丁玉, 陈彦汝. 不同配额分配方式对中国碳交易市场运行的影响——基于流动性、波动性与有效性视角的考察[J]. 资源科学, 2021, 43(12): 2503-2513.

WANG Yong, WANG Dingyu, CHEN Yanru. Impact of different quota allocation methods on the operation of China’s carbon trading market： From the perspective of liquidity, volatility, and effectiveness[J]. Resources Science, 2021, 43(12): 2503-2513.

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研究内容	研究对象	选择对象原因	研究期	数据来源
流动性、波动性、信息有效性	北京、天津和广东试点	均为配额分配方式发生过改变的地区,分别对其改变前后的市场运行进行对比研究,可避免外界环境对研究对象的影响	自交易开始日—2020年12月31日	当日成交均价和当日成交量数据来自wind数据库,剔除交易量为0的数据
碳减排有效性	上海、福建和深圳试点,非试点省份23个	均为配额分配方式未发生改变的地区,满足双重差分模型构建条件	上海、福建与非试点省份为2005—2017年,深圳因数据缺失为2009—2017年,与深圳匹配时非试点省份也为2009—2017年	深圳以外地区的碳排放数据来自wind数据库,取对数处理;深圳市数据则根据公式（6）计算。深圳以外地区的产业结构、人口规模、人口结构、技术水平和经济发展水平数据来自历年《中国统计年鉴》,深圳市数据则来自历年《深圳统计年鉴》。

试点	平均值	偏度	峰度
北京第1阶段（2013—2016年,历史法）	133.441	5.229	37.418
北京第2阶段（2017—2020年,基准线法）	353.621	4.760	35.360
天津第1阶段（2013—2015年,基准线法）	24.171	3.247	14.197
天津第2阶段（2016—2020年,历史法）	16.365	10.360	125.851
广东第1阶段（2013—2014年,拍卖法占比5%的混合配额分配）	461.910	4.721	29.480
广东第2阶段（2015—2020年,拍卖法占比10%的混合配额分配）	86.607	6.509	53.585

试点	平均值	标准差
北京第1阶段	0.000	0.065
北京第2阶段	0.001	0.077
天津第1阶段	-0.001	0.044
天津第2阶段	0.000	0.083
广东第1阶段	-0.006	0.074
广东第2阶段	0.000	0.207

试点	一阶滞后	二阶滞后	三阶滞后	四阶滞后	五阶滞后	六阶滞后	七阶滞后	八阶滞后	九阶滞后	十阶滞后
北京第1阶段	0.001	0.002	0.004	0.002	0.004	0.007	0.010	0.012	0.010	0.010
北京第2阶段	0.712	0.619	0.650	0.468	0.600	0.343	0.058	0.081	0.117	0.121
天津第1阶段	0.011	0.012	0.005	0.008	0.008	0.010	0.018	0.026	0.042	0.058
天津第2阶段	0.890	0.605	0.621	0.753	0.858	0.484	0.489	0.567	0.518	0.600
广东第1阶段	0.931	0.987	0.273	0.233	0.289	0.319	0.419	0.213	0.287	0.369
广东第2阶段	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000	0.000

变量	模型1	模型2	模型3
did	-0.89 （0.374）	-2.39** (0.017)	-2.48** （0.013）
treat	-2.07** （0.039）	-4.96*** (0.000)	-4.80*** （0.000）
time	3.04*** （0.003）	-4.32*** (0.000)	-4.34*** （0.000）
lnindustry		3.17*** (0.002)	3.18*** （0.002）
lnpop		8.79*** (0.000)	11.35*** （0.000）
lnold		-4.68*** (0.000)	-5.44*** （0.000）
lnpat		-0.53 (0.596)
lngdp		7.79*** (0.000)	11.53*** (0.000)
R²	0.0376	0.6795	0.6792