碳市场EUA与CER 期货价格变动关系的实证研究

基于VAR模型，对碳市场中的EUA期货价格和CER期货价格的变动关系进行了实证研究．选取欧洲气候交易所（ECX）的EUA期货价格和CER期货价格作为研究对象，运用Johansen协整检验、Granger因果关系检验、向量误差修正模型、广义脉冲响应函数和方差分解方法形成递进式的计量分析框架．研究结果表明：第一，EUA期货价格与CER期货价格之间存在着相互影响关系；第二，CER期货价格对市场信息的反映比EUA期货价格更为敏感，反映速度更快；第三，两种价格之间，CER期货价格变动的影响起主导作用，更好地发挥了期货的定价功能，两市场间存在杠杆效应．

An Empirical Study on the Relationship between EUA and CER Futures Price in Carbon Market

Based on the VAR model, an empirical study was carried out on the interaction relationship between EUA fu tures and CER futures prices in the carbon market. Selecting EUA futures prices and CER futures prices in European Climate Exchange （ECX） as the research object, Johansen cointegration test, Granger causality test, vector error correction model, the generalized impulse response function and variance decomposition method were used to form a progressive econometric analysis framework. The results show that： firstly, there is a mutual influence between EUA futures and CER futures prices; Second ly, compared with EUA lutures prices, CER futures price is more sensitive and faster to reflect market information; Thirdly, CER futures price plays a leading role in each other, and plays the futures pricing function, and leverage effect exists between the two markets.