电价、碳价与化石燃料价格相关性的理论建模与实证分析（英）-浙江大学

Editor-in-Chief,EnergyConverMsYucuiWang,Ph.D.studentinZhejiangUniversity,China,providedgreatFushuanWenhasbeenafullprofessorinvisitingprincipalresearchscientistinSheforSociety,China.HehadbeenauniversitydistinguishedprofessorinSouthChinaUnivTechmologyfrom2005to2009,aprofessorinUniversitiTeknologiBandanOttoMonstedFoundationGuestProfessorinTechmicalUniversiyofDenmarkiprofessorinenergysystemsinTalHehasalsobeenundertakingvariousteaching,UniversityofSingapore,HongKongPolytechmicUniversiy,UniversityofHongKong,UniversityofNewSouthWales,QueenslandUniversityofTechmology,University,MurdochUniversitIndustrialResearchOrganization(CSIRO)inAustralia.byElsevier.Heseivesastheeditor-in-chiefofEnergyComversionandEconomics(IETthedeputyEditor-in-ChiefofAutomationofElectricPowerSystems,andtheeditor,subjecteditorandassociateeditorofseveralinternationaljournalsHewaselectedtoIEEEFellowforcontributionstofaultd2233445洲江大学洲江大学电气工程学院4Theelectricity,carbon,andfossilfuelmarketsextotalemissioncapaAnalyzingthecocontrollingcarbonemissionsandpricescontrollingcarbonemissionsandpricesofvariouskindsof662)Thecomplexityofmodelingtheintfocusonempiricalanalysis,withalackofquantitat3)Thereisascarcityofresearcfossilfuelmarketsandinvestigatestheircorrelationsintheconteproduction,transmission,andcarbtherebyprovidingtheoreticalevidenceforthepricecorre2)ByselectingmarketsinChinaandEuropeforanestablishedtoexamineborelationshipsamongtmarketdevelopmentareidentified,leadingtocorrespondingrecommendationsf>TheoreticalmethodsforTheThepricetransmissionratetheorydeducestherateofTheresearchmethodsmentionedTheresearchmethodsmentionedpricetransmissionmechanismwithinarationalmarketmodel.However,theyoftenlackacloseconnectiontotheactualoperatconstrainedbythelimitationsofthesemodels.Correlationparametersarestable.Thismelong-termorshort-termequiliDynamicpriceseriesCorrelatThismethodconstructsaprobabilitymodetodemultiplevariablesinordertocaptdomainandsubsequentlyanalysesthecorrelatiotechniqueslikewaveletanalysisandmTheaforementionedmethodsdonotpossessinherentsuperioritTheaforementionedmethodsdonotpossessinherentsuperioritrather,theyexhibitdistinctapplicationprerequisitesandscenariosappropriatemethodforanalysisiscrucial,consideringthedatachthespecificfocusoftheinvestigation.渊江大学渊江大学电气工程学院11toestablishconcisemathematicalmTheCPGCIeffectivelyreflectsthecomprehensivecostsassociatedwithproducemissionsforallpowergenerationresourceswithinaspecificpowermarket'sjurisdiction.ThethepowermarkeinacertaintradingperiodtcanbedefinWhentheenergyconsucarbonemissionsofvariouspowerΩ(t)=Ap(t)+μP¹(t)+γP⁸“(t)+oPabo(t)+8asliuCREAIfnon-stationarytimeseriessatisfythepremiseofsame-ordercointegrationtheorycanbeusedtoanalyzetheregressionofnon√ThedefinitionofcointegrationWhentimeseriesY₁,Y₁,…,Ykareallintegratedoforderd,theycanbedenotedasY₁,Y₁,…,Yk~l(d).Ifthereexistsavectora=(a1,α2,.,a=a₁Y₀+α₂Y₂+.+α₁Y~I(d-b)whereZrisalinearcombinationofY√TheJohansencointegrationtestiscorelationshipbetweenmultipletimeseries.Theprincipleofthismethodisasfollows:errorcorrectiontermistoreintroducethelong-term√TheJohansencointegrationtrelationshipbetweenmultipletimeseries.Theprincipleofthismetho(1)r=m,φisfullrank,in(2)r=0,中isrepresentedasanerank),i.e.φ=ab'.Amongthem,arepresentsthespeedofnon-equilibriumadjustment,bisthe√TheChinadatasetincludesthepowergenerationcontracttransfertransactionpcarbonpriceintheGuangzhoupilotcarbonmarket,thethemalcoalfuturespriceintheZhengzhouCompriceintheShanghaiFuturesExchange,andthenat√TheEuropedatasetincludestheelectricitypriceinGemany'swholesalepowermarket,theEuropeanUninEuropeanEnergyExchange(EEX),theBrentcrudeoilprice,t√StatisticalindicatorswerecalculatedforthedfTheCoefficientTheCoefficientofVariation(CV)forcarbonprcarbonmarketandtheEUEISare0.56amd⁰.53,respecprice,highlightingamoreactivemarketinGermaThisobservationsuggestsasimilardedispersionbetweenthetsignificantlyhigherat0.92,comparedto0.26forelectr2112052.0164,78270291540.52460.400.92>Basedonobservationsandanalysisoftherealeconomthatalong-termequilibriumrelationshipexistsbetween√TheprocessandresultofcointegrationDffrancaToverifywhethertheintegerToverifywhethertheintegerordemarketpriceseriesisthesame,anenhancedthestationarityofthemarketpriceserPB04 Table4CointegnationranktatreultsofChina'a25BothChina'sandEurope'spriceserieseachhaveonelinearhindepende>TheVECMsestablishedinthispaperincudebothlong-termeqshort-termdynamicrelationshipsofelectricityprice,carbonprice,andfossilfuel>TheVECMsestablishedinthispaperincudebothlong-termeqshort-termdynamicrelationshipsofelectricityprice,carbonprice,andfossilfuel√TheJohansen'sMaximumLikelihoodEstimation(MLE)methodisusedfortheestimationofVECMandtable7showtheestimationresultsforChinaan√ThestabilityoftheestimatedVECMsforChinaandEuropecompanionmatrices.TherootplotsofthesetwomodelsareshowninFig.3(a)andFig.3(b(a)China(b清江大学电气工程学院18AccordingtothecointeAccordingtothecointegratitermequilibriumrelationshseries,carbonpriceseries,andfossil√Fromthetables,wecanobtainthecointegratandtheirsignificancelevel[1(0.000,-4.2230050),2.564(0.000,-1.990(0.020,4.786(0.010)]=P=4.23P-2.564P+1.990P+4.786PmThecoefficientsareusuallyusedtoindicate●InbothChinaandEurope,thecoeficientsbeforepcbetweencarbonpriceandelectricityprice.Simila●InChina,anegativec●InEurope,apositivecorrelatioandelectricitypriceareobser●ThecointegrationcoeffiindicatesarelativelystrongercorrelationbetweenThex-axisrepresentstnumberofimpulseresponsesteps,whilethey-axisrepresentsthemagnitudeofchangesoftheresponseresponseresultsareresponsestepsprogress.Thex-axisrepresentsthesteps,whilethey-representsthemagnitudeofchangesoftheresponseresponsestepsprogr洲江大学洲江大学电气工程学院21√In√IntermsofthepatternsobserveFig.4(c1)-(c5)andFig.5(b1)-(b5)exhibitsmoothimpulserespdynamicadjustmentofpricesinChina'selectricitymarket,carbonmarket,andfossilfuresponsetocoalpricefluctuations.Similarly,inEurope'selectricitymarketandfossil洲江大学电洲江大学电气工程学院22Usingimpulseresponsefunctiontoexaminetheintertemporalimpactcarbonprices,electricityprices,andenergypricesfromFig.4(b1).(c1).(d1),and(e1)reveatheresponseofelectricitFig.5(b1),(c1),(d1),and(e1)revealsthattheresponseofelectricitypriceinEshowsthehighestmagnitudeinoilpriceimpulsesindFic4ImpuleresponseofChina'sVECM.Fig5>Usingimpulseresponsefunctiontoexaminetheintertempor