Abstract: This paper builds a representative firm’s cross-period decision model to analyze the firm’s optimal trading volumes at the quota-fulfillment day and the non-quota-fulfillment days. The equilibrium results show that the firm’s optimal trading volume at the non-quota-fulfillment days positively correlates to its own risk aversion coefficient, market maker’s risk aversion coefficient and the standard deviation of the random carbon demand at the quota-fulfillment day; while negatively correlates to the firm’s carbon output efficiency. Our model explains why in Chinese carbon pilot markets the trading volume is huge around the quota-fulfillment day while scarce at the non-quota-fulfillment days. We propose corresponding policy suggestions to help smooth the trading volumes and improve the efficiency of Chinese carbon markets.

摘要： 本文通过构建一个代表性控排企业跨期决策理论模型，分析了碳配额交易企业在履约日与非履约日的最优交易量。均衡结果显示，企业在非履约日的最优交易量与其自身的风险规避系数、市场流动性提供者的风险规避系数、履约日随机碳需求的标准差成正比，而与企业的碳产出效率成反比。在此基础上，本文探讨了中国碳交易试点市场上履约日附近交易量巨大，而非履约日交易量稀少的原因，并提出相关政策建议，以帮助实现我国碳市场交易量的平滑及整体市场效率的提升。