作　　者：王倩 路京京 

關 鍵 詞：匯率沖擊； 碳定價； 區域差異； Copula模型

摘　　要：

匯率從能源相對價格和進出口渠道影響企業生產、沖擊碳價。碳價影響低碳轉型和減排主體的成本與發展權。在金融市場開放加速、匯率波幅增大的背景下，外匯市場對碳市場的沖擊事關全國碳市場的成敗與低碳減排的區域平衡發展。基于EGARCH\|Copula模型的計量研究發現，人民幣匯率對試點碳市場的沖擊呈顯著的區域差異：對天津碳價有顯著負向沖擊，對北京、上海和深圳有顯著正向沖擊，對湖北和廣東的正向沖擊較弱；對北京、上海碳價的沖擊呈顯著上尾相關性，對廣東呈下尾相關性。全國統一碳市場的制度設計應關注區域差異；考慮匯率沖擊碳市場的區域異質性，構建聯動機制，完善碳價管理體系；推動能源產品人民幣計價，促進碳金融創新。

The Impact of Exchange Rate on China’s Carbon Price： From the Perspective of Regional Differences

Wang Qian & Lu Jingjing  （Jilin University）

Abstract:Exchange rate impacts carbon price by changing energy relative price，import and export.Carbon pricing not only affects low carbon transition but also influences abatement cost and development rights of emitters.In the context of speeding up of financial market’s opening up and the increasing of exchange rate volatility,the impact of foreign exchange market on carbon is a key factor for the success of the national unified carbon market and the regional balance development in mitigation.Based on an EGARCH-Copula model,we find the impacts of RMB exchange rates on the carbon prices of six pilot carbon markets in China has significant regional differences.The impact on the carbon prices in Tianjin is negative,but positive in the other five carbon markets; RMB exchange rate has a strong impact on the carbon prices in Beijing,Shanghai and Shenzhen,but weak in Tianjin,Hubei and Guangdong；RMB exchange rate has strong upper tail correlation with the carbon prices in Beijing and Shanghai,but strong lower tail correlation with the carbon prices in Guangdong.Therefore,the design of the national unified carbon market should take regional differences into account; establish a response mechanism and improve the carbon price management by considering the regional heterogeneity of external impacts of exchange rate market on carbon market, and strengthen the role of RMB in energy pricing and promote the carbon financial innovation.

 

Key words:exchange rate; carbon pricing; regional differences; Copula model