• Proceedings of the KIEE Conference
• /
• 2011.07a
• /
• pp.598-599
• /
• 2011

Cap and Trade 제도 하에서 발전사업자는 탄소배출권 가격의 불확실성이라는 새로운 위험에 노출이 된다. 따라서 발전사업자가 전일 셀프스케쥴링을 실시함에 있어 전력 가격의 불확실성 뿐 아니라 탄소배출권 가격의 불확실성 또한 고려할 필요가 있다. 이에 본 논문에서는 전력 가격과 탄소 배출권 가격의 불확실성을 모두 고려한 발전사업자의 전일 셀프스케쥴링 문제를 고려하였다. 탄소배출권 시장의 거래상당 부분이 발전사업자에 의해 이루어지므로 전력 가격과 탄소 배출권 가격의 상관관계를 고려하여 셀프스케쥴링 문제를 정식화 하였다. 셀프스케쥴링의 결과로 나온 발전사업자의 기대수익과 기대수익의 변동성은 발전사업자의 위험회피정도에 따라 달라짐을 확인할 수 있었다.

• Environmental and Resource Economics Review
• /
• v.14 no.3
• /
• pp.569-593
• /
• 2005

This study tests for the law of one price and Grander Causality between the EU ETS and Nord Pool $CO_2$ allowance prices. The Johansen cointegration test shows that there exists a long run equilibrium between EU ETS and Nord Pool prices and support the law of one price. The Granger casuality test suggests that the EU ETS leads Nord Pool for all vintages traded. The test results imply that the EU ETS can be regarded as the representative carbon market in the EU where many exchanges just started competing for the newly rising market for carbon.

• Environmental and Resource Economics Review
• /
• v.22 no.4
• /
• pp.759-784
• /
• 2013

Participants can use the allowances and offsets for implementing the compliance in the Emissions Trading Scheme(ETS). There are alternative commodities which are different prices it gives the opportunities to reduce the compliance costs and get the arbitrage. This study analyzes the price driver of spread which is the difference between EUA and sCER using AR-GARCH model, EUA and CER during the Phase 2 in EU ETS. The results show that there are common elements which impacts the EUA and sCER and also different elements between them. EUA and sCER get the effects from energy price and economic criteria such as coal price and financial crisis as common elements. However them get the effects from electric price, policy criteria such as restricted CERs and difference price between EUA and ERU price as different elements. The results shows that spread will be widen if energy price increase, especially oil and electric price give more impacts the spreads. This study has the means that it explains the reason why the spreads will broaden sharply in 2012. And it also suggests the price driver of spread during the whole period of Phase 2. In addition, this study shows that political aspects maybe become the main criteria of price change with structural elements shch as energy price in Korea ETS which starts in 2015.

• Journal of the Korean Data and Information Science Society
• /
• v.22 no.3
• /
• pp.401-412
• /
• 2011

This study uses a vector error correction model to analyze the daily time series data of the spot price of EUA (European Union Allowance). As endogenous variables, five variables are considered for the analysis, including prices of crude oil, natural gas, electricity and coal in addition to carbon price. Data period is Phase 2 period (April 21, 2008 to March 31, 2010) to avoid Phase 1 period (2005-2007) where the EUA prices were distorted. Unit-root and cointegration test results reveal that all variables have a unit root and cointegration vectors exist, so a vector error correction model is adopted instead of a vector autoregressive model.

• Proceedings of the KIEE Conference
• /
• 2015.07a
• /
• pp.481-482
• /
• 2015

2015년부터 우리나라는 온실가스 배출량 감소를 위해 교토의정서에서 제시한 메커니즘 중 탄소배출권 거래 제도를 도입하였다. 시장개념이 기본인 탄소배출권 거래 제도를 도입함으로써 온실가스 배출량을 더욱 경제적이고 효율적으로 감축할 것으로 기대되고 있다. 이미 선진국들은 온실가스 배출량을 감소시키기 위한 여러 움직임들을 보이고 있으며 특히 배출권 거래 제도는 유럽을 중심으로 활성화 되었다. 이와 동시에 신재생에너지의 보급을 통하여 전력 발전부문에서 큰 감축효과를 얻게 되었다. 하지만 2008년 서유럽으로부터 시작된 유럽지역 경제악화는 배출권 제도의 예상치 못한 단점을 보여주는 사례가 되었다. 이와 다르게 미국의 경우 배출권 제도가 아닌 전원구성변화를 통해 비교적 안정적으로 온실가스 배출량을 줄였다. 기존 기저 발전원을 담당하던 원전과 석탄화력 발전을 대체하기 위하여 가스발전의 활성화를 도입하였고, 온실가스의 배출량을 8년 사이에 약 16억톤을 감소시켰다. 이에 본문에서는 탄소배출권 거래 제도의 도입과 동시에 전원구성변화가 이루어졌다고 가정하여 탄소 배출권 가격을 고려하였을 때 계통운영비용에 어떠한 영향이 있는지 탄소 배출량에 따른 가격을 통하여 알아보았다.

• Management & Information Systems Review
• /
• v.33 no.3
• /
• pp.93-104
• /
• 2014

This study investigates price discovery between BlueNext spot and futures in EU ETS carbon emission markets using vector error correction model, GG and Hasbruck information ratio. Especially EUA is European Union Allowances traded on the Emissions Trading Scheme. This emission asset attracts and increasing attention among operators, investors and brokers on emission markets. In this study, we found BlueNext spot and EUA futures market are cointegrated. Following the preceding studies, we judged that EUA futures market contribute to the price discovery process than BlueNext spot market when this GG and Hasbrouck information ratio for BlueNext market are larger than 0.5. In other words, the futures market of EUA plays a more dominant role in price discovery than the spot market.

• Journal of Environmental Policy
• /
• v.10 no.2
• /
• pp.45-60
• /
• 2011

An aim of this paper is to test four hypotheses on price volatility in the $CO_2$ emission markets focusing on European Climate Exchange(ECX) in the EU Emission Trading Schemes(EU ETS) and Chicago Climate Exchange(CCX). I expect that, due to an influx of market information, a differently designed exchange market would bring a different price volatility, and various types of emission permits in the same exchange market would result in the same effects on the price volatility. Major findings are that the price volatility is same regardless of the types of emission exchange markets and emission permits comparing the rate of returns. However, comparing the GARCH variance, the volatility between ECX EUAs and CCX-CFIs and the volatility between EUAs(CERs) futures and daily futures are different with the exception of the volatility between EUAs futures and CERs futures. In conclusion, the price volatility depends on the types of exchanges and the types of emission permits.

• Environmental and Resource Economics Review
• /
• v.19 no.1
• /
• pp.23-43
• /
• 2010

This article compares two different auction designs for $CO_2$ emission allowances, namely uniform pricing and multiple pricing, in view of market efficiency. Experimental economic method of Buckley et al. (2004) is applied in this analysis. As a result of this analysis as expected, multiple pricing method brings out Winner's curse. It means that uniform pricing method is more efficient than multiple pricing method.

• Proceedings of the Korean Institute of Building Construction Conference
• /
• 2020.06a
• /
• pp.44-45
• /
• 2020

Korea has the fourth highest CO₂ emission among OECD countries in 2018, As of 2019, total greenhouse gas emissions per capita increased by about 98.2% in comparison to 1990. Korea has promised a 37% reduction in greenhouse gas emissions in 2030 from the projected Paris Climate Change Accord. Currently, many countries use the emissions trading system(ETS) for international carbon management. In 2015, ETS has been implemented in Korea, and the importance of calculating CO₂ emissions from construction machinery has increased. So, we require an accurate calculation of the environmental charges through the allocated CERs. Using the CER price and related search keywords, this paper derive about prediction models of CER price and compare and focus on more accurate prediction about CER price. By this method, the budget needed to establish the initial construction process plan can be calculated based on more accurate predicted CER price.

• Journal of Climate Change Research
• /
• v.2 no.2
• /
• pp.115-131
• /
• 2011

Out of all the possible actions that can be taken to respond to greenhouse gas reduction, including development of greenhouse gas reduction technology, infrastructure, actions to improve energy saving and efficiency, and offset with carbon emission reductions (CERs), this study shall focus on the investment on CERs. This study will take a look at risks involved with investing in CERs such as UN registration refusal risk and CERs price fluctuation, and will design risk management model which shall be verified. The goal of this paper is to provide optimized CERs investment strategies for different types of investors, such as general trading companies seeking for investment opportunities and financial companies with plans for green products development and investment by preparation for carbon market. It is expected that the global competitiveness of domestic financial companies shall be improved by taking actions on carbon market instead of previous passive response to climate change and that Korea, the number two Carbon Emissions supplier and number one derivatives market in terms of volume, shall be able to lead the worldwide carbon market.