(35.175.212.130) 您好!臺灣時間:2021/05/17 21:47
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果

詳目顯示:::

我願授權國圖
: 
twitterline
研究生:鄭雲勻
研究生(外文):Yun-Yun Cheng
論文名稱:二氧化碳排放權價格動態變化之研究
論文名稱(外文):An analysis of CO2 emission price dynamics
指導教授:萬哲鈺萬哲鈺引用關係
指導教授(外文):Jer-Yuh Wan
口試委員:陳思寬廖惠珠
口試日期:2011-06-08
學位類別:碩士
校院名稱:淡江大學
系所名稱:經濟學系碩士班
學門:社會及行為科學學門
學類:經濟學類
論文種類:學術論文
論文出版年:2011
畢業學年度:99
語文別:中文
論文頁數:70
中文關鍵詞:二氧化碳排放權價格ARJI模型常數跳躍強度模型
外文關鍵詞:CO2 emission priceARJI modelconstant intensity jump GARCH model
相關次數:
  • 被引用被引用:0
  • 點閱點閱:141
  • 評分評分:
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:1
本研究以AR(3)-GARCH(1,1) 模型、常數跳躍強度模型,以及ARJI 模型,探討碳交易市場─BlueNext交易所之二氧化碳排放權報酬率是否存在跳躍的現象、是否具有波動叢聚和高狹峰的特性。接著,在這三個模型中,透過樣本內的選取,比較這三個模型的預測能力。
實證結果整理如下:
(1)在碳交易市場中,第二階段的持續波動相較於第一階段穩定。
(2)因ARJI模型估計時,參數的估計都很顯著,顯示出使用ARJI模型的確可以掌握到價格波動變化,印證了林丙輝及葉仕國 (1999) 認為在市場上都受到不連續性跳躍的影響。
(3)以RMSE 和 MAE為衡量預測能力的準則,AR(3)-GARCH(1,1)優於常數跳躍強度模型與ARJI模型;透過Diebold and Mariano預測比較檢定與Granger and Newbold預測比較檢定,說明AR(3)-GARCH(1,1) 模型、常數跳躍強度模型、和ARJI模型一樣好。整體而言,選擇不同的比較準則時,恐會影響分析結果。
(4)建議欲了解二氧化碳排放權現貨報酬率時,考量跳躍的因素,是很重要的。


This paper adopts the AR(3)-GARCH(1,1) model, constant intensity jump GARCH model, and ARJI model to examine the jump, leptokurtosis and volatility clustering of the returns of CO2 emission price. We evaluate the performance of the three model mentioned above by investigating the in-the-sample forecasting power on the returns of CO2 emission price.
Our empirical results are stated as following:
(1) The volatility of second phase is relative stable than that of first phase in carbon market.
(2) The empirical results indicate that the ARJI model can capture the variation and jump of the returns of CO2 emission price.
(3) The AR(3)-GARCH(1,1) model is superior than the constant intensity jump GARCH model and ARJI model based on the criterion of minimizing RMSE and MAE. On the contrary, from Diebold and Mariano forecast comparison test and Granger-Newbold forecast comparison test it shows that performance of the AR(3)-GARCH(1,1) model is the same as that of constant intensity jump GARCH model and ARJI model.
(4) When considering the returns of CO2 emission price, jumps in the volatility play a very important role.


目錄

表目錄 II
圖目錄 III
第一章 緒論 1
1.1 研究背景與動機 1
1.2 研究目的 8
1.3 研究限制 9
1.4 本文架構 10
1.5 研究流程 11
第二章 文獻回顧 12
2.1 金融資產訂價模型之相關文獻回顧 12
2.2 二氧化碳排放權價格波動與統計方法之相關文獻回顧 16
2.3 小結 18
第三章 研究方法與模型 19
3.1 AR(3)-GARCH(1,1) 19
3.2 常數跳躍強度模型 20
3.3 ARJI模型 21
3.4 模型預測績效指標 24
3.5 預測比較檢定方法 24
第四章 研究結果與分析 26
4.1 資料來源與處理 26
4.2 基本統計分析 27
4.3 實證結果分析 32
第五章 結論與建議 65
參考文獻 67







一.中文部份

李堅明、江佳蓁 (2010),「歐盟排放交易制度、氣候政策和產業競爭力分析」,碳經濟,18,16-29。

李堅明 (2010)。我國碳交易平台制度建置進展。從坎昆觀點談台灣節能減碳關鍵策略論壇,台北市文化大學大新館。

林丙輝、葉仕國 (1999),「台灣股票價格非連續跳躍變動與條件異質變異之研究」,證券市場發展季刊,4,61-92。

邱建良、李彥賢、 鄒易凭 (2005),「金融風暴對股市間波動性的連動性影響-ARJI模型」,真理財經學報,13,1-22。

洪瑞成 (2007),「風險值衡量與風險值避險法」,淡江大學財務金融學系博士班博士論文。

陳俊吉 (2008),「資產報酬在偏態GED分配下之跳躍模型比較」,淡江大學財務金融學系碩士在職專班。

黃盈茹 (2010),「價格限制對二氧化碳排放交易價格之影響」,淡江大學經濟學系碩士班碩士論文。

蔡宜龍 (2010),「二氧化碳排放交易價格波動分析」,淡江大學經濟學系碩士班碩士論文。

蘇欣玫、鄒易凭、鄭婉秀 (2007),「美國存託憑證與其標的股票之波動性—跳躍與門檻自我迴歸模型之應用」,輔仁管理評論,14,27-46。

蘇欣玫、鄒易凭、邱建良 (2008),「利率波動對國際股市報酬之不對稱性效果」,東吳經濟商學學報,62,23-46。

二.英文部分

Alberola, E., Chevallier, J. and, Chèze B., (2008), “Price Drivers and Structural Breaks in European Carbon Prices 2005-2007,” Energy Policy, 36, 787–797.

Alberola, E., Chevallier, J., and Chèze, B., (2009a), “The EU Emissions Trading Scheme: Disentangling the Effects of Industrial Production and CO2 Emissions on Carbon Prices,” International Economics,116.

Alberola, E., Chevallier, J. and Chèze, B., (2009b),“Emissions Compliances and Carbon Prices under the EU ETS: A Country Analysis of Industrial Sectors,”
Journal of Policy Modeling, 31, 446-462.

Benz, E. and Trück, S., (2009), “Modeling the price dynamics of CO2 emission allowances,” Energy Economics, 31, 4-15.

Bollerslev, T., (1986), “Generalized autoregressive conditional heteroskedasticity,”Journal of Econometrics, 31, 307-327.

Bredin, D. and Muckley, C., (2009), “Is there a Stochastic Trend in European Union Emission Trading Scheme Prices?,” SSRN working paper, No 15.

Ciorba, U., Lanza, A., Pauli, F., (2001), “Kyoto Protocol an Emission Trading: Does the US make a Difference?,” FEEM working paper, No 90.

Chan, W.H. and Maheu, J.M., (2002), “Conditional Jump Dynamics in Stock Market Returns,” Journal of Business and Economic Statistics, 20, 377-389.

Christiansen, A. C. and Arvanitakis, A., (2004), “What determines the price of carbon in the European Union?,” Working Paper, European Climate Exchange.

Chevallier, J., (2010), “The European carbon market (2005-2007): banking, pricing and risk-hedging strategies,” Working Paper, HAL.

Daskalakis, G., Psychoyios, D., Markellos, R.N., (2009), “Modeling CO2 emission allowance prices and derivatives: Evidence from the European trading scheme,”
Journal of banking and finance, 33, 1230-1241.

Diebold, F.X. and Mariano, R.S., (1995), “ Comparing Predictive Accuracy,”JBES,13, 253-63.

Engle, R., (1982), “Autoregressive Conditional Heteroskedasticity with Estimates of
the Variance of United Kingdom Inflation,” Econometrica, 50, 987-1007.

Granger, C.W.J. and Newbold, P., (1973), “Some Comments on the Evaluation of Economic Forecasts,” Applied Economics, 5, 35-47.

Jorion, P., (1988), “On Jump Processes in the Foreign Exchange and Stock Markets,” Review of Financial Studies, 4, 427-445.

Le Comte, D. and Warren, H. E., (1981), “Modelling the impact of summer temperatures on national electricity consumption,” Journal of Applied Meteorology, 20, 1415-1419.
Li, X. and Sailor, D. J., (1995), “Electricity use sensitivity to climate and climate change,” World Resource Review, 7, 334-346.

Mansanet-Bataller, M., Pardo, A. and Valor, E., (2007), “CO2 Prices, Energy and Weather,” The Energy Journal, 28, 73-92.

Marche Carbone 2011 (2011). Paris: Development institute international.

Nieuwland, F., Vershchoor, W., and Wolff, C., (1994), “Stochastic Trends and Jumps in EMS Exchange Rates,” Journal of International Money and Finance, 13, 699-727.

Peirson, J. and Henley, A., (1994), “Electricity load and temperature: Issues in dynamic specification,” Energy Economics, 16, 235-243.

Seifert, J., Uhrig-Homburg, M., Wagner, M., (2008), “Dynamic behavior of CO2 spot prices,” Journal of Environmental Economics and Management, 56, 180–194.

Sijm, J.P.M., Ormel, F.T., Martens, J.W., et al., (2000), “Kyoto Mechanisms. The Role of Joint Implementation, the Clean Development Mechanism and Emissions Trading in Reducing Greenhouse Gas Emissions,” ECN report
C-00-026, Petten, The Netherlands.

State and trends of the carbon market (2006). Washington, DC: World Bank.

State and trends of the carbon market (2007). Washington, DC: World Bank.

State and trends of the carbon market (2008). Washington, DC: World Bank.

State and trends of the carbon market (2009). Washington, DC: World Bank.

State and trends of the carbon market (2010). Washington, DC: World Bank.

Vlarr, P.J.G. and Palm, F.C., (1993), “The Message in Weekly Exchange Rates in the European Monetary System: Mean Reversion, Conditional Heteroscedasticity, and Jump,” Journal of Business & Economic Statistics, 11, 351-360.


QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top