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Modeling the Price Spread between the EUA and the CER Carbon Prices

机译：模拟EUA和CER碳价之间的价差

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This paper investigates the issue of the price spread between secondary CERs and the EU carbon allowanceprices and provides new insights into the issue of interdependency between the EU ETS and the CDM. This isachieved by modeling the price differential between the EUAs and the CERs prices, investigating instances ofprice convergence, and finally identifying potential factors which could explain the existing differentialbetween their current forward prices. Using statistical tests of co-movement between the EUA and the CERprices, including cointegration and convergence tests, the findings demonstrate neither a long-run relationshipnor a price convergence between the variables. Furthermore, a time-varying parameter analysis which is usedto explicitly detect changes in the structural relationship, and measure the degree of price convergence inorder to complement the cointegration and convergence results, support the findings from the cointegrationand convergence tests. In other words, by plotting the results of the time-varying parameters of the model, theanalyses, based on the statistical evidence, suggest that a sustained price convergence cannot be foundbetween the European allowances and the CDM credits over the entire period considered although the degreeof price convergence between them has improved in the second half of 2008. The shift in the priceconvergence, by using the Kalman filter, can be pinpointed to linking directly the EU ETS to the CDM andfinancial crises as key events which have significant impacts on carbon prices and in turns on the price spread.The finding of no price convergence between these two prices can likely be attributed to two primary factors:a cap on the amount of CERs and the risk associated with CERs.
机译：本文研究了二级CER与欧盟碳配额之间的价格差问题 定价，并为欧盟排放交易体系和清洁发展机制之间的相互依存问题提供了新的见解。这是 通过对EUA和CER价格之间的价格差异建模来实现，并调查了 价格趋同，最后确定可以解释现有差异的潜在因素 在它们当前的远期价格之间。使用EUA和CER之间共同运动的统计检验 价格，包括协整和收敛检验，结果表明两者之间没有长期的关系 变量之间的价格也没有收敛。此外，使用了随时间变化的参数分析 明确发现结构关系的变化，并衡量价格的趋同程度 为了补充协整和收敛结果，支持协整的结果 和收敛测试。换句话说，通过绘制模型随时间变化的参数的结果， 基于统计证据的分析表明，无法找到持续的价格趋同 在整个时期内，欧洲配额与CDM配额之间的关系 它们之间的价格趋同性在2008年下半年有所改善。价格的变化 通过使用卡尔曼滤波器，可以确定收敛性，从而将EU ETS直接链接到CDM并 金融危机是关键事件，对碳价格以及价差产生重大影响。 发现这两个价格之间没有价格收敛的发现可能归因于两个主要因素： CER数量上限和与CER相关的风险。

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