| 引用本文: | 曾悦,杨星,蒋金良.碳排放权价格均值回归的周期及振幅[J].控制理论与应用,2018,35(4):506~516.[点击复制] |
| ZENG Yue,YANG Xing,Jiang Jin-liang.Period and amplitude of mean reversion of carbon price[J].Control Theory and Technology,2018,35(4):506~516.[点击复制] |
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| 碳排放权价格均值回归的周期及振幅 |
| Period and amplitude of mean reversion of carbon price |
| 摘要点击 2697 全文点击 1218 投稿时间：2017-08-20 修订日期：2018-01-01 |
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| DOI编号 10.7641/CTA.2018.70590 |
| 2018,35(4):506-516 |
| 中文关键词 碳排放权价格 均值回归 周期与振幅 耦合关系 功率谱密度 |
| 英文关键词 carbon price mean reversion cycle and amplitude coupling relationship power spectral density |
| 基金项目 国家社科基金重点项目(15AGJ009)资助. |
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| 中文摘要 |
| 本文运用谱估计技术分析了欧盟碳排放权价格均值回归周期、幅度及其与WTI, PMI之间的耦合关系. 研
究表明: 1) EUA现货价格具有显著的均值回归周期振荡特征, 周期约在15.5个月与3个月之间; 振幅约在??2.298到
4.823之间; 2) EUA现货价格均值回归与WTI原油价格指数的耦合周期在3个月到12个月之间, 耦合振幅在0.1958到
0.8843之间, 与PMI指数耦合周期约为4个月到11个月之间. 耦合振幅在0.1652到2.134之间; 3) 在所有耦合周期模态
下, 耦合周期越长, 耦合振幅越小. |
| 英文摘要 |
| This paper analysis of the price of EU carbon emissions mean return period, amplitude and coupling relations
through the spectrum estimation technique. The results show that: 1) EUA spot prices have significant mean reversion
characteristics of periodic oscillation, cycle between about 15.5 and 3 months; the amplitude between ??2.298 to 4.823;
2) Coupling cycle of EUA spot price mean reversion and WTI crude oil price index in 3 to 12 months, coupled amplitudes
between 0.1958 to 0.8843, and the PMI index in 4 to 11 months. coupling amplitudes between 0.1652 to 2.134. The
amplitude 3) in all the coupling cycle mode. The coupling cycle is long, the smaller the coupling amplitude. |