School of Finance, Guangdong University of Foreign Studies, Guangzhou, P.R., China.
Southern China Institute of Fortune Management Research (IFMR) Guangzhou, P.R., China.
PLoS One. 2019 Aug 13;14(8):e0220808. doi: 10.1371/journal.pone.0220808. eCollection 2019.
This paper studies the heterogeneous effects of exchange rate and stock market on carbon emission allowance price in four emissions trading scheme pilots in China. We employ a panel quantile regression model, which can describe both individual and distributional heterogeneity. The empirical results illustrate that the effects of explanatory variables on carbon emission allowance price is heterogeneous along the whole quantiles. Specifically, exchange rate has a negative effect on carbon emission allowance price at lower quantiles, while becomes a positive effect at higher quantiles. In addition, a negative effect exists between domestic stock market and carbon emission allowance price, and the intensity decreasing along with the increase of quantile. By contrast, an increasing positive effect is discovered between European stock market and domestic carbon emission allowance prices. Finally, heterogeneous effects on carbon emission allowance price can also be proved in European Union Emission Trading Scheme (EU-ETS).
本文研究了汇率和股票市场对中国四个碳排放交易试点中碳排放配额价格的异质影响。我们采用了面板分位数回归模型，该模型可以描述个体和分布的异质性。实证结果表明，解释变量对碳排放配额价格的影响在整个分位数上是异质的。具体来说，汇率在较低分位数上对碳排放配额价格有负向影响，而在较高分位数上则有正向影响。此外，国内股票市场与碳排放配额价格之间存在负向关系，且这种关系随着分位数的增加而减弱。相比之下，我们发现欧洲股票市场与国内碳排放配额价格之间存在正向关系，且这种关系随着分位数的增加而增强。最后，我们还在欧盟排放交易体系中证明了碳排放配额价格的异质效应。
