歐盟碳排放交易系統（EU ETS）自2018年初實施市場穩定儲備機制（MSR）以來，通過減少未使用配額的過剩，提高了歐盟配額（EUA）價格的運作效率。MSR每年調整市場上的配額數量，其中拍賣量是決定配額價格的關鍵因素。參考歐盟執委會於年度報告中所提及的制度以及資料，本研究首先應用有限差分法解決單期情況下的Black-Scholes偏微分方程，探討EUA定價問題。我們將此分析擴展到EU ETS第四階段的多期情境，納入MSR在連續時期間的價格調整。模型模擬結果表明，線性減排係數和MSR的吸收率顯著影響年度配額價格的變動。更嚴格的年度拍賣量減少會立即推高EUA價格，而較少的減少則導致MSR更頻繁地吸收配額，最終推高價格。相反，模擬結果顯示，在第四階段，MSR的吸收和釋放門檻對EUA價格的影響相對較小。 關鍵字: 歐盟碳排放交易系統、市場穩定儲備機制、歐盟碳權定價、價格調整 ;The European Union Emissions Trading System (EU ETS) has enhanced the functioning of the European Union Allowance (EUA) price by reducing the surplus of unused allowances since the revision of the Market Stability Reserve (MSR) in early 2018. The MSR adjusts the number of allowances available in the market annually, with auction volume being a critical determinant of allowance prices. Referring to the regulation and data from the report provided by European Commission, this study addresses the EUA pricing problem by initially applying a finite difference method to solve the Black-Scholes partial differential equation for a single-period case. We extend this analysis to a multi-period context for Phase 4 of the EU ETS, incorporating MSR′s price adjustments between consecutive periods. Model simulations indicate that both the linear reduction factor and the MSR’s intake rate significantly influence the variation in annual allowance prices. A more severe reduction in yearly auction volumes results in an immediate increase in EUA prices, while less reduction leads to more frequent MSR absorption, eventually driving prices up. Conversely, the simulation suggests that the MSR′s thresholds for absorbing and releasing EUAs have a relatively minor impact on EUA prices during Phase 4.
Keywords: EU ETS, MSR, EUA Pricing, Price Adjustment
