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How to explain carbon price using market micro-behaviour?

发布时间: 2016/10/13 11:24:01     点击次数:次   打印本页

How to explain carbon price using market micro-behaviour?

By:Fan, Y (Fan, Ying)[ 1 ] ; Liu, YP (Liu, Yin-Peng)[ 2 ] ; Guo, JF (Guo, Jian-Feng)[ 2 ] 

APPLIED ECONOMICS  

Volume: 48  

Issue: 51  

Pages: 4992-5007  

DOI: 10.1080/00036846.2016.1170930  

Published: NOV 2016  

Abstract

In this article, we analyse the micro-behaviours of the emitting companies and financial intermediaries in the European Union emissions trading scheme (EU-ETS) and their influence on carbon prices. Based on the full-sample community independent transaction log (CITL), the micro-behaviours can be observed in a closed system. The micro-behaviours of the emitting companies are divided into compliance trading' and non-compliance trading' based on the emitting companies' trading motivations. The micro-behaviours of the financial intermediaries are measured by their influence on the total supply and demand in the market. Then, an AR-GARCH model is established to examine the dynamic relationships between carbon prices and the micro-behaviours of the emitting companies and financial intermediaries. The estimation results suggest that the prices-behaviours relationship is significant. Other important findings are as follows: (1) the mean value of carbon prices positively depends on the compliance trading of the emitting companies and the micro-behaviours of the financial intermediaries; (2) non-compliance buying increases the volatility of carbon prices, while the non-compliance selling stabilizes it and (3) the micro-behaviours of the emitting companies in the lower 50% in terms of emission levels have no significant influence on the mean carbon price, but their non-compliance buying stabilizes the carbon price.