Disentangling supply and demand shocks in the EU ETS – Before and after the introduction of the Market Stability Reserve

EU ETSにおける供給ショックと需要ショックの分離 ─ 市場安定化準備金導入前後の分析 (AI 翻訳)

Andreas Maulberger, Andreas W. Rathgeber

Resource and Energy Economics📚 査読済 / ジャーナル2026-05-05#炭素価格Origin: EU

DOI: 10.1016/j.reseneeco.2026.101575

原典: https://doi.org/10.1016/j.reseneeco.2026.101575

🤖 gxceed AI 要約

日本語

本論文はSVARモデルを用いてEU ETSの排出枠価格変動を供給・需要ショックに分解。政策サプライズ、経済活動、電力セクターの需要変動など5つの要因が価格に与える影響を定量化。市場安定化準備金（MSR）導入後、需要ショックの価格変動寄与率が33.5%から58.4%に上昇し、投機的要素が減少したことを示す。MSRが実需反映型の炭素価格形成に寄与した証拠を提供。

English

Using a SVAR model, this paper decomposes EU ETS allowance price changes into supply and demand shocks. It finds that after the Market Stability Reserve (MSR) was introduced in 2019, the contribution of real-time demand shocks to price variance increased from 33.5% to 58.4%, while policy and precautionary shocks diminished. The results suggest that the MSR effectively reduced oversupply and made carbon pricing more responsive to actual demand.

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2023年度から国内排出量取引制度（GX-ETS）の試行が始まり、2026年度からの本格稼働が予定されている。本論文が示すMSRの効果は、日本の制度設計、特に供給過剰時の調整メカニズムを検討する上で示唆に富む。ただしEU特有の電力セクター構造に基づく分析であり、日本への直接適用には留意が必要。

In the global GX context

This paper provides causal evidence that a Market Stability Reserve (MSR) can transform an emissions trading system from being speculation-driven to demand-driven. As multiple jurisdictions (e.g., China, South Korea, and soon Japan) develop or reform their ETS, the MSR design lessons—especially its impact on price discovery and market efficiency—are highly relevant for global climate policy debates.

👥 読者別の含意

🔬研究者:The SVAR decomposition methodology and the novel proxy for electricity demand offer a replicable framework for analyzing carbon market efficiency in other ETS contexts.

🏢実務担当者:Traders and compliance officers can use the finding that post-MSR price movements are more closely tied to fundamental demand to adjust hedging and trading strategies.

🏛政策担当者:For regulators designing or reforming an ETS, this paper provides strong empirical support for including an MSR-like mechanism to reduce speculative volatility and improve carbon price reliability.

📄 Abstract（原文）

This paper employs a Structural Vector Autoregressive (SVAR) model to analyze the impact of supply and demand shocks on European emission allowance (EUA) prices. We decompose EUA price changes into five components: (1) policy surprises, identified through a high-frequency approach, (2) demand shocks driven by economic activity, (3) shocks to the electricity sector's expected demand linked to fossil fuel price fluctuations, (4) shocks to the electricity sector's realized demand, measured using a novel metric based on electricity generation data, and (5) market-specific shocks, primarily reflecting precautionary demand driven by expectations of future policy tightening. Our results show that all these shocks significantly impact EUA prices. However, post-2019, the introduction of the Market Stability Reserve (MSR), which tackled excessive oversupply in the system, decreased the influence of policy interventions and precautionary shocks, aligning EUA prices more closely with the other demand-side factors. While only 33.5% of the variance in EUA prices can be attributed to the three real-time demand shocks before 2019, this figure almost doubled to 58.4% after the MSR's introduction. This shift suggests that a mechanism to address oversupply can be a crucial step towards achieving a more efficient, real-time demand-driven carbon pricing in emissions trading systems. • Fundamental shocks in the EU ETS are decomposed using a SVAR model. • Introduced new measures to proxy EUA market fundamentals. • Post-Market Stability Reserve (MSR), the contribution of demand shocks to EUA price variance increases to 58%. • MSR reduces speculative impact, fostering real-time demand-driven carbon pricing.

🔗 Provenance — このレコードを発見したソース

openalex https://doi.org/10.1016/j.reseneeco.2026.101575first seen 2026-05-24 04:31:45 · last seen 2026-05-27 04:31:33

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