Impact of UK Carbon Pricing on EU ETS Volatility
英国の炭素価格がEU ETSの変動性に与える影響 (AI 翻訳)
Hsiao-I Kuo, Shu-Chen Chang
🤖 gxceed AI 要約
日本語
本研究は、Brexit後の炭素価格設定の文脈で、EU ETSとUK ETS間のボラティリティ動学とクロスマーケット相互作用を調査。GARCH(1,1)モデルを用いた分析により、両市場で有意なボラティリティ・クラスタリングと持続性が確認され、UK ETSの方がショックの影響が長く続くことが示された。また、クロスマーケット・スピルオーバー効果も観察された。
English
This study investigates volatility dynamics and cross-market interactions between the EU ETS and UK ETS post-Brexit using GARCH(1,1) models. Results show volatility clustering and persistence in both markets, with higher persistence in the UK ETS and evidence of cross-market spillovers.
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
日本でも2023年度からカーボンプライシング（GXリーグ・排出量取引）が本格化しており、市場間の相互影響やボラティリティ管理は重要な政策的示唆を提供する。特に域外市場との連関は今後の制度設計の参考となる。
In the global GX context
As carbon pricing expands globally, understanding cross-market volatility dynamics is critical for market stability and risk management. This paper offers empirical evidence on how two linked systems (EU and UK) interact, relevant for regions considering linking or designing domestic carbon markets.
👥 読者別の含意
🔬研究者:Provides empirical evidence on volatility persistence and spillovers between two carbon markets using GARCH modeling.
🏢実務担当者:Helps risk managers and compliance teams understand cross-market volatility dynamics for hedging and portfolio strategies.
🏛政策担当者:Informs design of carbon markets with considerations for market linkages and volatility stabilization mechanisms.
📄 Abstract（原文）
Abstract This study investigates the volatility dynamics and cross-market interactions between the European Union Emissions Trading System (EU ETS) and the UK Emissions Trading System (UK ETS) in the context of post-Brexit carbon pricing. Using daily carbon price data from January 2022 to July 2023 and employing a GARCH (1,1) model, the analysis reveals significant volatility clustering and persistence in both markets. The findings indicate a higher persistence of volatility in the UK ETS, suggesting longer-lasting impacts of market shocks compared to the EU ETS. Cross-market spillovers are observed, with shocks in one market significantly influencing the other, highlighting the interconnected nature of these systems. Notably, the UK ETS demonstrates a quicker stabilization of price movements, reflecting differences in market efficiency and regulatory structures. These insights contribute to the understanding of carbon market behavior and provide practical implications for policymakers and stakeholders aiming to enhance market stability, manage risks, and support the transition to a low-carbon economy. JEL Classification : Q54, Q58, C22
🔗 Provenance — このレコードを発見したソース
- openaire https://doi.org/10.21203/rs.3.rs-8525845/v1first seen 2026-05-14 21:14:44
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