碳排放減少以及市場穩定儲備機制對歐盟碳排放交易系統的影響

以作者查詢圖書館館藏

、以作者查詢臺灣博碩士

、以作者查詢全國書目

、勘誤回報

、線上人數：94

、訪客IP：3.12.73.149

姓名

沈謙(Chien Shen) 查詢紙本館藏

畢業系所

數學系

論文名稱

碳排放減少以及市場穩定儲備機制對歐盟碳排放交易系統的影響
(The Impact of Emission Reduction and MSR Mechanism on EU ETS)

★ 時間序列與神經網路複合模型之日照時數分析

檔案

[Endnote RIS 格式]

[Bibtex 格式]

[相關文章]

[文章引用]

[完整記錄]

[館藏目錄]

至系統瀏覽論文 (2026-7-20以後開放)

摘要(中)

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

摘要(英)

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

關鍵字(中)

★ 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

關鍵字(英)

★ EU ETS
★ MSR
★ EUA Pricing
★ Price Adjustment

論文目次

Table of Contents
ACKNOWLEDGEMENT III
TABLE OF CONTENTS IV
LIST OF FIGURES V
LISTS OF TABLES VI
EXPLANATION OF SYMBOLS VII
1. INTRODUCTION 1
2. LITERATURE REVIEW 9
3. METHODOLOGY 13
3.1 MARKET SETUP 13
3.1.1 Annual Emission Cap (and Linear Reduction Factor) 14
3.1.2 Supply 15
3.1.3 Auction Volume 16
3.1.4 Free Permits 18
3.1.5 Total Emissions 19
3.1.6 EUA Price Dynamics 20
3.3 ONE COMPLIANCE PERIOD 26
3.4 MULTIPLE COMPLIANCE PERIOD 30
3.5 EUA PRICING 32
3.6 TNAC DIFFERENCE’S FORMULA 34
4. ANALYSIS 39
4.1 PRICING EFFECT WITH DIFFERENT SUPPLY 40
4.2 DIFFERENT RATE OF CHANGE IN SUPPLY 45
4.3 LINEAR REDUCTION FACTOR ON EUA PRICE 47
4.4 INTAKE RATE FOR MSR 50
4.5 UPPER THRESHOLD FOR MSR 52
4.6 LOWER THRESHOLD FOR MSR 54
5. CONCLUSION 56
BIBLIOGRAPHIES 57

參考文獻

Bibliographies
[1] Aid, R., Campi, L., Huu, A. N., & Touzi, N. (2009). A structural risk-neutral model of electricity prices. International Journal of Theoretical and Applied Finance, 12(07), 925-947.
[2] Beck, U., & Kruse-Andersen, P. K. (2020). Endogenizing the cap in a cap-and-trade system: assessing the agreement on EU ETS phase 4. Environmental and Resource Economics, 77(4), 781-811.
[3] Bel, G., & Joseph, S. (2015). Emission abatement: Untangling the impacts of the EU ETS and the economic crisis. Energy Economics, 49, 531-539.
[4] Benz, E., & Trück, S. (2009). Modeling the price dynamics of CO2 emission allowances. Energy Economics, 31(1), 4-15.
[5] Bosco, B. (2023). Trade, equilibrium prices and rents in European auctions for emission allowances. Environmental Economics and Policy Studies, 25(1), 87-113.
[6] Bruninx, K., Ovaere, M., & Delarue, E. (2018, November). A first analysis of the market stability reserve in the European Emission trading system. In FSR Climate Annual Conference. Florence School of Regulation.
[7] Carlén, B., Dahlqvist, A., Mandell, S., & Marklund, P. (2019). EU ETS emissions under the cancellation mechanism-Effects of national measures. Energy policy, 129, 816-825.
[8] Directive (EU) 2018/410 of the European Parliament and of the Council of 14 March 2018 Amending Directive 2003/87/EC to Enhance Cost-Effective Emission Reductions and Low-Carbon Investments, and Decision (EU) 2015/1814.
[9] Decision (EU) 2015/1814 of the European Parliament and of the Council of 6 October 2015 Concerning the Establishment and Operation of a Market Stability Reserve for the Union Greenhouse Gas Emission Trading Scheme and Amending Directive 2003/87/EC.
[10] European Commission (2019). Publication of the total number of allowances in circulation in 2018 for the purposes of the Market Stability Reserve under the EU Emissions Trading System established by Directive 2003/87/EC.
[11] European Commission (2020). Publication of the total number of allowances in circulation in 2019 for the purposes of the Market Stability Reserve under the EU Emissions Trading System established by Directive 2003/87/EC.
[12] European Commission (2021). Publication of the total number of allowances in circulation in 2020 for the purposes of the Market Stability Reserve under the EU Emissions Trading System established by Directive 2003/87/EC.
[13] European Commission (2022). Publication of the total number of allowances in circulation in 2021 for the purposes of the Market Stability Reserve under the EU Emissions Trading System established by Directive 2003/87/EC.
[14] European Commission (2023). Publication of the total number of allowances in circulation in 2022 for the purposes of the Market Stability Reserve under the EU Emissions Trading System established by Directive 2003/87/EC.
[15] European Commission (2024). Publication of the total number of allowances in circulation in 2023 for the purposes of the Market Stability Reserve under the EU Emissions Trading System established by Directive 2003/87/EC.
[16] Graichen, V., Schumacher, K., Matthes, F. C., Mohr, L., Duscha, V., Schleich, J., & Diekmann, J. (2008). Impacts of the EU Emissions Trading Scheme on the industrial competitiveness in Germany.
[17] Howison, S., & Schwarz, D. (2015). Risk-neutral pricing of financial instruments in emission markets: A structural approach. siam REVIEW, 57(1), 95-127.
[18] Kollenberg, S., & Taschini, L. (2016). Emissions trading systems with cap adjustments. Journal of Environmental Economics and Management, 80, 20-36.
[19] Löschel, A., Lutz, B. J., & Managi, S. (2019). The impacts of the EU ETS on efficiency and economic performance–An empirical analyses for German manufacturing firms. Resource and Energy Economics, 56, 71-95.
[20] Perino, G., & Willner, M. (2016). Procrastinating reform: The impact of the market stability reserve on the EU ETS. Journal of Environmental Economics and Management, 80, 37-52.
[21] Perino, G., & Willner, M. (2017). EU-ETS Phase IV: allowance prices, design choices and the market stability reserve. Climate Policy, 17(7), 936-946.
[22] Quemin, S., & Trotignon, R. (2019). Intertemporal emissions trading and market design: An application to the EU-ETS. Grantham Research Institute on Climate Change and the Environment Working Paper, 316.
[23] Rubin, J. D. (1996). A model of intertemporal emission trading, banking, and borrowing. Journal of environmental economics and management, 31(3), 269-286.
[24] Seifert, J., Uhrig-Homburg, M., & Wagner, M. (2008). Dynamic behavior of CO2 spot prices. Journal of Environmental Economics and Management, 56(2), 180-194.
[25] Schwartz, E. S. (1997). The stochastic behavior of commodity prices: Implications for valuation and hedging. The Journal of finance, 52(3), 923-973.
[26] Tietjen, O., Lessmann, K., & Pahle, M. (2021). Hedging and temporal permit issuances in cap-and-trade programs: The Market Stability Reserve under risk aversion. Resource and Energy Economics, 63, 101214.

指導教授

陳亭甫(Ting-Fu Chen)

審核日期

2024-7-23

推文