核证减排量现货市场与期货市场的价格发现

作为全球碳市场第二大组成部分的CDM市场正在迅速发展。由于CERs交易市场仍是新兴的碳排放权交易市场，目前尚未发现对该资产现货市场和期货市场的价格发现的相关研究。使用向量误差修正模型和公共因子模型对CERs现货市场和期货市场的价格发现功能进行了分析，并使用脉冲响应函数和方差分解对公共因子模型的实证结果进行了验证。研究结果表明:CERs现货价格和期货价格之间存在长期稳定的均衡关系，期货价格是现货价格的Granger 原因，并且目前数据表明CERs现货市场的价格发现功能较弱，而期货市场的价格发现功能较强，即期

An Empirical Research on Price Discovery of CERs Spot Market and Futures Market

The market of Clean Development Mechanism （CDM）,as the second biggest integral part of world＇s carbon market, is developing rapidly. Since CERs （Certified Emission Reductions）trading market is still a burgeoning carbon emission trading market, the related research about price discovery of CERs spot market and futures market has not yet been found. The price discovery mechanism of CERs futures market and spot market is analyzed by applying vector error correction model and common factor model, and the results are validated through applying impulse response function and variance decomposition. The results indicate that there is a long-run cointegration relationship between CERs futures price and spot price; CERs futures price is Granger cause of spot price in the short-run. Based on present data, this paper also draws the conclusion that CERs futures market makes primary contribution to the price discovery, while CERs spot market just makes subsidiary contribution to the price discovery.