Abstract: The construction of a unified national carbon emissions trading market is an important element in creating a unified market for factors and resources. The integration of the carbon market can realize lower cost carbon emission reduction, solve the“carbon leakage”between regions, improve the quality of carbon market operation, and enhance the international influence of China’s carbon market. Currently, China’s carbon market mainly consists of seven regional carbon markets, including Shanghai, Guangzhou, Tianjin, Shenzhen, Beijing, Hubei and Chongqing, and the national carbon market. However, due to regional heterogeneity and industry heterogeneity, etc., the unification of China’s carbon market cannot be achieved overnight, which greatly affects the functioning of the carbon market. Therefore, there is an urgent need to bridge the gap between carbon markets. In the process of marketization of China’s carbon market, scientifically measuring the dynamic level of China’s regional carbon market integration and analyzing the dynamic features of the integration and the obstacles can provide policymakers with dynamic detection indicators of carbon market integration as well as the basis for decision-making to enhance the integration of the carbon market.
Under the guidance of the law of one price, this paper gives a definition of carbon market integration based on the perspective of the convergence of price changes in the carbon market, and discusses the dynamic characteristics and obstacles of the integration of the Chinese carbon market in four steps. First, this study introduces a stochastic dynamic dependence correction mechanism based on dynamic principal component analysis, average dynamic correlation method and dynamic standard correlation method, constructs a series of dynamic indicators of carbon market integration, reveals the effectiveness of the indicators through the relationship between each indicator and diversification benefits, changes the width of the rolling window to analyze the robustness of the indicators, and finally determines the optimal indicators through the Granger causality test. Second, the results of the BP breakpoint test are used to analyze the impact of important policy shocks on carbon market integration and provide recommendations for carbon market integration. Third, macro variables such as output, price and air quality are used to show the correlation of economic fundamentals among the carbon market pilot regions, and then analyze the impact of economic fundamentals on carbon market integration based on the mixed-frequency Granger causality test. Fourth, the Generalized Forecast Error Variance Decomposition (GFEVD) method is used to analyze the volatility spillover effects among pilot carbon markets, find the key market and information transmission mechanisms in the risk contagion of China’s carbon market, and analyze the information connection among markets.
The research results mainly include the following three aspects.First, the 1stPC indicator based on the PCA method is the optimal carbon market integration measurement indicator, the level of carbon market integration in China is low, and the relevant major policies and conferences have had a significant impact on carbon market integration. Second, at the macro level, differences in price levels and air quality between the pilot regions have hindered the integration of the carbon market, with a significant lag effect. Third, at the micro level, cross-regional spillovers between pilot carbon markets are low. Beijing and Shanghai are typical net information spillovers, while Hubei is a net information spillover. Information spillovers between pilot carbon markets are time-varying.
Based on the conclusions of the above study, the following approaches can be considered to promote the integration of China’s carbon market. Firstly, the improvement of the carbon market operation mechanism and the unification of the policy system is the first task to promote the integration of China’s carbon market and realize the efficient operation of the carbon market, which should accelerate the unification process of the industry accounting standards, regulatory rules, trade settlement, quota allocation scheme and other regulations among the pilot regions. Secondly, as the differences in economic fundamentals in the pilot regions have led to a low degree of regional carbon market integration, accelerating the sectoral expansion of the national carbon market and speeding up the process of a unified national carbon market are the fundamental paths to realizing carbon market integration in the long term. Thirdly, poor information flow between pilot carbon markets has also led to market segmentation. Therefore, in the short term, information flow between markets can be enhanced by changing trading rules, introducing institutional investors, building a carbon derivatives market and increasing the policy flexibility, which will ultimately improve carbon market integration.

Key words: carbon market integration, economic foundation hypothesis, market information connection, obstacles

摘要： 本文构造了十个不同类型的碳市场一体化测度指标,筛选出了有效且稳健的指标,确定了最优的测度指标。在此基础上,分析了中国碳市场一体化的动态特征和结构突变点,并分别从经济基础的宏观层面和市场信息溢出的微观层面分析了中国碳市场一体化的主要阻碍因素。结果表明,基于PCA方法构造得到的1stPC指标是指标体系中最佳的一体化测度指标,碳市场一体化对碳市场建设进程中的重大事件做出了反应;试点碳市场所在地区的价格差异和空气质量差异是宏观层面导致碳市场一体化程度不高的主要因素,而从微观层面来看,试点碳市场间的分割现象则源于市场间信息传导路径不畅。因此,可以通过统一试点碳市场间的政策体系、加快全国碳市场建设和引入机构投资者及丰富碳衍生品等方式提升中国碳市场一体化水平。

关键词: 碳市场一体化, 经济基础, 市场信息关联, 阻碍因素