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首页> 外文期刊>Energy >The relationship between European electricity markets and emission allowance futures prices in phase Ⅱ of the EU (European Union) emission trading scheme
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The relationship between European electricity markets and emission allowance futures prices in phase Ⅱ of the EU (European Union) emission trading scheme

机译：欧盟排放交易计划第二阶段中欧洲电力市场与排放配额期货价格之间的关系

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摘要

We investigate how electricity markets relate to emission allowance prices. We analyze the price determinants of the European Allowance Units' returns and account for exchange specific effects. We employ a Threshold GARCH (Generalized Autoregressive Conditional Heteroskedasticity) model and, apart from the exchange specific analysis, introduce several energy specific variables in the analysis. As such we extend the work of other scholars. We find that natural gas, oil prices and the switching possibilities between gas and coal for electricity generation are significant drivers of the carbon futures price. This is because the price of electricity is partly determined by the cost of the fuel inputs, and these costs are affected by the CO_2 allowance price. Furthermore, it appears that Nordpool and APX-UK spot prices have a profound impact on these prices. Therefore, another contribution is that we establish that local market specifics play a distinctive role in carbon price formation.
机译：我们调查电力市场与排放配额价格之间的关系。我们分析了欧洲配额单位退货的价格决定因素，并考虑了汇率的具体影响。我们使用阈值GARCH（广义自回归条件异方差）模型，除了交换特定的分析之外，在分析中引入了几个能量特定的变量。因此，我们扩展了其他学者的工作。我们发现天然气，石油价格以及天然气和煤炭在发电之间的转换可能性是碳期货价格的重要驱动力。这是因为电价部分由燃料输入成本决定，而这些成本受CO_2配额价格影响。此外，Nordpool和APX-UK现货价格似乎对这些价格产生了深远的影响。因此，另一个贡献是，我们确定了当地市场细节在碳价格形成中起着独特的作用。

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  • 来源
    《Energy》 |2014年第9期|585-594|共10页
  • 作者

    Arieke Boersen; Bert Scholtens;

  • 作者单位

    M &A project manager at Vattenfall, Sweden;

    University of Groningen, Energy and Sustainability Centre, Faculty of Economics and Business, PO Box 800, 9700 AV Groningen, The Netherlands,Centre for Responsible Banking & Finance, School of Management, University of Saint Andrews, The Gateway, North Haugh, St. Andrews, KY16 9SS, Scotland, UK;

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  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类
  • 关键词

    Carbon finance; EU ETS; Electricity exchanges; T-GARCH;

    机译：碳融资;欧盟排放交易体系;电力交流;T-GARCH;

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