ANALYSIS OF THE IMPACT FACTORS OF THE CARBON EMISSIONS FUTURES PRICES BASED ON THE CARBON FOOTPRINT

摘要

This article collects the EUA futures prices trading under the second phase of EU ETS as the object, and concludes by modelling the Markov regime-switching VAR: 1) the prices fluctuate over regimes defined as recession and recovery along with the macroeconomic crash such as financial and debt crisis and mostly remain in the same state continuously;2) the EU27 Production in Industry which gathers the sectors under EU ETS can confirm the lag influence on EUA prices' regime switching;3) the yearly carbon footprint index calculated based on the Input-output Analysis can change smoothed transition probabilities of each regime where reflects the lag impact again and can ease the extreme value of them.The forecast method for carbon footprint based on the independent industrial interrelationship inspires us to further focus on policy making about the transformations of energy-intensive technologies and the structures within and among industries.With the help of hedging the EUA futures, China's energy-intensive enterprises can mitigate the cost in reducing emissions.