학술논문
배출권 가격 변동성에 대한 분석과 시사점
이용수 84
- 영문명
- Analysis and Implication of Price Volatility Regarding CO₂ Emission Allowance
- 발행기관
- 한국경제연구원
- 저자명
- 설윤(Youn Seol)
- 간행물 정보
- 『한국경제연구원 연구보고서』연구보고서 2011-04-02, 159~249쪽, 전체 91쪽
- 주제분류
- 경제경영 > 경제학
- 파일형태
- 발행일자
- 2011.01.28
13,720원
구매일시로부터 72시간 이내에 다운로드 가능합니다.
이 학술논문 정보는 (주)교보문고와 각 발행기관 사이에 저작물 이용 계약이 체결된 것으로, 교보문고를 통해 제공되고 있습니다.
국문 초록
영문 초록
This research analyzes the price behavior of European Allowance(EUA) prices which is representative of the European Union-Emission Trading Scheme(EU-ETS) and Certified Emission Reduction(CER) of the project market. From empirical results, AR-GARCH(1,1) model is good fit for explaining the price behavior of EUA as well as CER. The suggested model is expected to provides important information about behavior and dynamics of EUA prices as a financial asset when we will adopt an Emission Trading Scheme (ETS) and help monitor emissions from corporations.
We estimate a vector error correction model(VECM) which is based on cointegration of dynamic endogenous relationship between EUA and CER. We find a cointegrated relationship between EUA and CER, and this result is useful for investigating factors of price volatility as well as understanding the characteristics of market information of CER.
Finally, we investigate the risk premium in CO₂ spot and future prices, and we find that the risk premium for post-2012 contract is higher than that for EU-ETS Ⅱ (2008~2012) because there still exists uncertainty from the post-Kyoto Protocol era and EU-ETS Ⅲ (2013 2017). ~ When we only compare the risk premium in the early stage (2008) with that in the late stage(2010) during EU-ETS II, the former is lower than the latter, indicating that an ETS and the emission trading market are more mature steps. Therefore, the risk premium is useful in measuring the price stability of whole corporations and industries including the energy and electricity industries in particular, when we will adopt an ETS in the near future.
목차
Ⅰ. 서론
Ⅱ. 탄소시장 현황
Ⅲ. 탄소배출권 가격행위 모형
Ⅳ. 위험 프리미엄
Ⅴ. 결론과 시사점
참고문헌
Abstract
키워드
해당간행물 수록 논문
참고문헌
관련논문
최근 이용한 논문
교보eBook 첫 방문을 환영 합니다!
신규가입 혜택 지급이 완료 되었습니다.
바로 사용 가능한 교보e캐시 1,000원 (유효기간 7일)
지금 바로 교보eBook의 다양한 콘텐츠를 이용해 보세요!