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政策の不確実性、市場の不確実性：中国における経済政策不確実性と炭素価格の動的関係

Uncertainty in policy, uncertainty in markets: The dynamic relationship between economic policy uncertainty and carbon prices in China (原題)

Jingyi Wang, Shu Wang, Shu Wang, Weijiang Liu, Baicheng Zhou, Siyi Wang, Siyi Wang

Development Policy Review📚 査読済 / ジャーナル2026-09-01#炭素価格Origin: CN対象セクター: power
DOI: 10.1111/dpr.70101
原典: https://doi.org/10.1111/dpr.70101

🤖 gxceed AI 要約

日本語

中国8地域のパイロット炭素市場（2015-2025年）の月次データを用い、取引量加重の炭素価格指数を構築。55指標を組み込んだ時変パラメータVARで、経済政策不確実性（EPU）が炭素価格に与える影響を分析した。EPUは最初の4ヶ月で急速に価格へ反映され、その方向・規模・持続性は市場間で大きく異なる。マクロ経済・エネルギー価格・制度制約が許容枠需要と compliance 期待を通じて効果を増幅する。

English

Using monthly data from China's eight regional pilot carbon markets (2015-2025), the study builds a volume-weighted composite carbon price index and estimates a time-varying parameter VAR with 55 indicators. Economic policy uncertainty (EPU) is absorbed into carbon prices rapidly, mostly within four months, with responses varying widely across markets. Macroeconomic conditions, energy prices, and institutional constraints amplify these effects via allowance demand and compliance expectations.

Unofficial AI-generated summary based on the public title and abstract. Not an official translation.

📝 gxceed 編集解説 — Why this matters

日本のGX文脈において

日本ではSSBJ基準とGX-ETSの段階的導入が進む中、炭素価格の政策感応度は企業の投資判断・内部炭素価格設定に直結する。中国の実証結果は、政策の透明性・安定性が価格シグナルの信頼性を左右することを示し、日本ETS設計や有報での気候関連開示における価格前提の議論に示唆を与える。

In the global GX context

As ISSB/SSBJ-aligned disclosure and emissions trading expand globally, understanding how policy uncertainty transmits into carbon prices is critical for transition finance and internal carbon pricing. This paper offers rare empirical evidence from China's pilot ETS, informing debates on market stability mechanisms, price discovery, and policy coordination relevant to emerging ETS designs worldwide.

👥 読者別の含意

🔬研究者:政策不確実性が炭素価格に伝播する動学を、時変パラメータVARで識別した実証手法が参考になる。

🏢実務担当者:炭素価格の政策感応度を踏まえ、内部炭素価格やコンプライアンス戦略に不確実性プレミアムを組み込む必要性を示す。

🏛政策担当者:ETS設計において政策の安定性・透明性・地域間調整が価格シグナルの信頼性と市場レジリエンスを高めることを示唆する。

📄 Abstract（原文）

Abstract Motivation Stable and credible carbon price signals are essential for emissions abatement, efficient resource allocation, and low‐carbon investment. However, carbon markets remain highly dependent on policy design and implementation, meaning that greater uncertainty in economic policy could disrupt firms' production, compliance, and allowance‐holding decisions. Understanding how uncertainty is transmitted into carbon prices is therefore important for improving the effectiveness and resilience of emerging emissions trading systems. Purpose This study examines whether and how economic policy uncertainty affects carbon prices in China, how these effects evolve over time and differ across pilot markets, and through which economic and institutional channels they operate. Approach and methods Using monthly data from China's eight regional pilot carbon markets between January 2015 and December 2025, this study constructs a trading‐volume‐weighted composite carbon price index. It estimates a stochastic volatility time‐varying parameter factor‐augmented vector autoregressive model incorporating 55 macroeconomic, financial, energy and environmental indicators, and conducts robustness and mechanism tests. Findings Economic policy uncertainty is incorporated rapidly into carbon price formation, with the strongest responses concentrated in the first four months and gradually converging thereafter. Composite carbon prices respond positively in most periods, although some episodes exhibit an initial decline followed by recovery. The direction, magnitude, and persistence of the responses vary substantially across markets. Macroeconomic conditions, energy prices, and institutional constraints amplify these effects by altering allowance demand, tradable supply, abatement costs, and compliance expectations. Policy implications Carbon‐market governance should enhance policy stability, transparency, and advance communication; strengthen market depth, information disclosure, and price discovery in accordance with regional conditions; and improve coordination among macroeconomic, energy, and environmental policies. These measures would help reduce abrupt price adjustments and strengthen market resilience to uncertainty shocks.

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