基于歐盟碳市場配額現貨與期貨的發展經驗和對我國統一碳市場建設的借鑒,本文以2005-2012年歐盟碳排放權交易體系(EU ETS)歐盟配額的現貨和期貨價格為樣本研究二者之間的關系。本文運用單位根檢驗(ADF檢驗)的方法驗證現貨與期貨價格的序列平穩性,并在序列平穩的前提下基于協整理論研究現貨價格與期貨價格的長期均衡關系,反映了二者間的靜態關系。但短期內這一靜態關系并不成立,反而表現出一定的動態性,短期價格的變動能夠真實地反映市場需求,對價格的形成起著重要作用,因而采用向量誤差修正模型重點研究二者間的短期動態關系。研究表明:1碳現貨價格與期貨價格間有著不同程度的影響,二者存在長期均衡,但短期內受市場特定因素的影響,二者又有所偏離;2期貨價格反應靈敏,偏離均衡后調整速度快于現貨,而且期貨的滯后期價格對現貨價格影響顯著,這更加突顯了碳期貨的價格發現作用;3期貨市場涉及了投資者對市場的預期和判斷,較現貨交易包含了更多的投機性,價格更為靈活,波動頻繁,增加了市場風險。最后,根據結論對我國碳市場建設提出一些啟示和建議:針對現貨與期貨價格之間的動態關系,應當積極開發和利用碳期貨市場,通過期貨的價格發現功能形成合理碳價,同時需要增強期貨市場與現貨市場的透明度,實現信息的傳遞與分享,最終實現期貨市場對現貨市場的補充和完善;為規避期貨價格的波動性所帶來的風險,需要建立一套完善的風險防控體系,在風險可控的前提下利用期貨價格對市場進行預期,及時引導市場價格,形成完善的價格機制,為全國統一碳市場建設提供價格基礎。

Based on the development experiences of the spots and futures in the European carbon market and implications for the construction of unified carbon market in China,this paper takes the EU ETS allowance prices of spots and futures in 2005-2012 as samples to study the irrelationships.It uses the ADF test to verify series stationarity of the prices of spots and futures,and then uses cointegration theory to test their long-term equilibrium relationship,reflecting their static relationship.However,the static relationship doesn’t work while dynamic does in the short term.The change of short-term price can truly reflect the market demands,playing an important role in the formation of the prices.Thus,this study takes use of Vector Error Correction model to focus on the short-term dynamic relationship.The result shows that:firstly,the spots price and futures price have different degrees of influence,and both have the long-term equilibrium and some deviations in the short term because of some specific factors.Secondly,the futures price is sensitive and its adjustment is faster than the spots after deviating from the equilibrium.Moreover,the lag price of futures influences the spots price significantly,highlighting the discovery function of carbon futures price.Thirdly,the futures price is relatively more flexible and fluctuates more frequently,thus increasing the market risks.That is because the investors of futures market have more expectations and judgments,the futures have more speculations than the spots market.Finally,this paper puts forward some suggestions.Based on the dynamic relationship between spots and futures prices,China should develop and take advantage of carbon futures market actively.The market can form a reasonable carbon price with the price discovery function of futures.At the same time,it should enhance the transparency between the futures and spots market,achieve the transmission and sharing of information,and ultimately achieve a more healthy spots market with the supplement and improvement of futures market.To avoid the risk of future price volatility,China should establish a sound risk prevention and control system,which could guide the market price with the market expectation and then format a sound pricing mechanism and thus offer price basis for the construction of a unified national carbon market.