Period and amplitude of mean reversion of carbon price
ZENG Yue
YANG Xing
JIANG Jin-liang
Abstract：This paper analysis of the price of EU carbon emissions mean return period,amplitude and coupling relations through the spectrum estimation technique. The results show that: 1)EUA spot prices have significant mean reversion characteristics of periodic oscillation,cycle between about 15.5 and 3 months; the amplitude between?2.298 to 4.823;2)Coupling cycle of EUA spot price mean reversion and WTI crude oil price index in 3 to 12 months,coupled amplitudes between 0.1958 to 0.8843, and the PMI index in 4 to 11 months. coupling amplitudes between 0.1652 to 2.134. The amplitude 3)in all the coupling cycle mode.The coupling cycle is long,the smaller the coupling amplitude.
Keywords：carbon pricemean reversioncycle and amplitudecoupling relationshippower spectral density
Publication Date：2018-01-01
Online Publishing Date：2025-08-15(First online date of this platform, not the publication date of the document)
Pages：11( 506-516 )