【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.更多还原

【Abstract】 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.更多还原