摘要
碳市场通过对碳排放权赋予经济价值,利用市场调节机制,推进产业升级和能源转型,是实现“双碳”目标的重要政策工具.随着碳市场金融化的推进,金融风险对碳市场的冲击也会更加明显.文章通过引入幂指数即时价格影响函数和资产间交叉价格影响函数来刻画碳市场的资产相互作用情况,结合政策管控措施建立经济下行情景下的企业资产清算模型,分析企业碳资产最优清算策略并探讨政策管控水平对清算策略的影响.研究表明,价格影响系数较小、初始价格较高及初始持有量较低的碳资产会被企业优先清算;资产最优清算量随着企业的损失厌恶水平增加而减小;政策管控通过影响企业碳资产最优清算量抑制碳市场的资产价格波动,同时清算量下降会增加企业的运营压力,因此政府需要根据宏观经济环境和企业生存边界选择合理的政策管控水平.
Carbon markets based on carbon emissions rights to economic value,using the price mechanism,the mechanism of supply and demand market regulation mechanism,promoting industrial upgrading and energy transformation,has become an important policy tool for the government to achieve“Double Carbon”goals.With the advancement of the carbon market financialization,however,the impact of financial risk on the carbon market will be more obvious.In this paper,cross-price and nonlinear temporary price impact functions are introduced to describe the price impact of the carbon market.Combined with policy control,an enterprise asset liquidation model is established in the context of an economic downturn,and the optimal liquidation strategy and the influence of policy control level are analyzed through the liquidation order and liquidation volume.The results show that,firstly,the carbon assets with a smaller price impact coefficient,higher initial price,and lower initial holding will be preferentially liquidated by the enterprise.Secondly,the optimal liquidation volume of assets decreases with the increase of the enterprise's loss aversion.Finally,policy control can suppress the price fluctuation of carbon assets by influencing the optimal liquidation volume of carbon assets of enterprises.Meanwhile,the decline in liquidation volume will increase the operating pressure on enterprises.Therefore,the government needs to choose a reasonable level of policy control according to the macroeconomic situation and the survival boundary of enterprises.
作者
杨怡凡
郭菊娥
李毅
黎建强
YANG Yifan;GUO Ju'e;LI Yi;LAI Kin Keung(School of Management,Xi'an Jiaotong University,Xi'an 710049;International Business School,Shaanxi Normal University,Xi'an 710119)
出处
《系统科学与数学》
CSCD
北大核心
2022年第8期1990-2003,共14页
Journal of Systems Science and Mathematical Sciences
基金
国家自然科学基金(71774130)
华能集团总部科技项目能源安全技术专项(HNKJ20-H87)资助课题。
关键词
碳交易市场
资产清算模型
价格影响
政策管控
最优清算策略
Carbon market
asset liquidation model
price impact
policy control
optimal liquidation strategy
