The Study On The Price Fluctuation Laws Of EU ETS

Concerns about price fluctuation of EU ETS are growing with the rapid development of EU ETS. This paper does comprehensive research into price fluctuation laws of EU ETS. Firstly,based on empirical data of Bluenext Exchange and the European Climate Exchange(ECX) from June 24, 2005 to May 8, 2015, this paper analyzes market basis of price fluctuation laws. By using CEEMDAN arithmetic, this paper decomposes and reconstitutes the spot price of EU ETS and gets the high frequency component, low frequency component and trend component, which have specific economic meanings. High frequency component reveals the short-term fluctuation,which is mainly effected by seasonal factors. Low frequency component reveals the mesoscale fluctuation condition which is affected by cyclical fluctuation of economy as well as bombshell,heterogeneity environment. Trend component reveals the secular trend and reflects the effect of internal mechanism on the carbon market. This structure character of fluctuation lays market foundation of the comprehensive research of price fluctuation laws of EU ETS.Combining with climate character of EU, this paper does research into seasonal fluctuation laws of EUA spot price in EU ETS by using X-13A-S, and gets the following conclusions.Seasonal price fluctuation doesn't exist in the first stage of EUA spot market while there exists seasonal price fluctuation law in the latter two stages and the presentation mode of the laws in every year is almost the same. Carbon price rises in summer and autumn, declines in spring and winter. Besides, the price declines in July and August, which is counter-trend fluctuation.Temperature is the leading factor of seasonal fluctuation of EUA spot price while precipitation can influence seasonal fluctuation in carbon market under certain temperature condition partly by alternative energy. However, viewed from overall angel, the effect of precipitation is not obvious.By using HP filter, this paper does research into cyclical fluctuation laws of EUA spot price in EU ETS and get the following conclusions. There exist obvious cyclical price fluctuation laws in EUA spot market. There are three complete cycles from February, 2008 to May, 2015. The average cycle length is short while the amplitude is large. It appears more down-trend than up-trend of these three cycles. However, the up-trend is more than down-trend in the forth cycle.The cyclical fluctuation laws of EU ETS are the results of a series of uncertainties in recovery period of economy.