Price Discovery in Carbon Markets: Evidence from Phase III & IV of EU-ETS
炭素市場における価格発見：EU-ETS第3期・第4期からのエビデンス (AI 翻訳)
Charu Vadhava, Ashu Khanna
🤖 gxceed AI 要約
日本語
EU-ETSの第3期・第4期における価格発見プロセスを分析。EEXとECXのスポット・先物価格を用い、VECMモデルと情報シェア指標で分析。結果、全ての価格系列が価格発見に寄与し、調整速度は先進株式市場に匹敵する。炭素価格の効率性は気候リスクプレミアムの反映に重要であり、新興国の炭素市場政策に示唆を与える。
English
This paper analyzes price discovery in the EU-ETS Phase III & IV using EEX and ECX spot/futures data. Applying VECM and price discovery measures, they find all series contribute significantly, with adjustment speeds comparable to equity markets. Results have implications for emerging carbon markets.
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
欧州の炭素市場の価格発見メカニズムの理解は、日本のGXリーダや今後の国内炭素市場設計に示唆を与える。特に、価格効率性と政策の連動について参考になる。
In the global GX context
This paper provides empirical evidence on the efficiency of the EU-ETS, the world's largest carbon market. Its findings on price discovery and risk premium incorporation are crucial for policymakers designing carbon markets in emerging economies and for understanding the role of markets in climate finance.
👥 読者別の含意
🔬研究者:Researchers in carbon market design and price discovery will find the application of multiple price discovery measures valuable.
🏢実務担当者:Carbon traders and exchange operators can learn about information flow between spot and futures markets.
🏛政策担当者:Policymakers in emerging economies can use these results to design efficient carbon markets.
📄 Abstract（原文）
This paper examines the price discovery process in the European Union Emission Trading Scheme (EU-ETS) – the largest carbon market across the world – for its third and fourth commitment periods. In particular, we examine the two leading carbon exchanges: European Energy Exchange (EEX: Spot and Futures) and European Climate Exchange (ECX: Futures). We examine the information transmission process in the EU-ETS for the three pairs, namely, (I) EEX spot-EEX futures, (II) EEX futures-ECX futures, and (III) EEX spot-ECX futures. To this end, we employ all three pair-wise bivariate vector error correction models (VECM) and price discovery measures, that is, component share (CS), information share (IS), and information leadership share (ILS) measures. We show that all three-price series substantially contribute to the price discovery. Moreover, the speed of adjustment and price discovery is comparable to the developed equity markets. The ability of carbon prices to incorporate the risk-premia related to climate-risk considerably depends on the pricing efficiency of carbon – one of the major objectives of the Kyoto Protocol and EU-ETS. Thus, these results have significant implications for policymakers, regulators, and academics in the forthcoming carbon markets from emerging economies (e.g., China, India).
🔗 Provenance — このレコードを発見したソース
- semanticscholar https://doi.org/10.5750/jpm.v19i2.2242first seen 2026-05-15 17:04:12
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