탄소배출권 시장의 차익거래 및 가격발견 가능성
Arbitrage Trade and Price Discovery in Carbon Emission Markets
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초록
본 연구는 금융위기이후 최근 자료를 통한 탄소배출권 시장의 차익거래 가능성 및 가격발견 가능성을 분석하였다. 주요한 연구결과는 다음과 같다. 첫째, 금융위기 후 급격한 경제침체 및 금융시장 붕괴가 없는 상태에서 EUA와 CER 시장내 현ㆍ선물간의 베이시스가 안정적이어서 차익거래가 가능한 것으로 나타났다. 하지만 EUA-CER 시장간 스프레드를 통한 차익거래는 현재 양 시장의 미성숙과 시장규제로 인하여 어려워 보였다. 둘째, EUA 시장은 선물시장이 가격발견 기능을 하였으며 변동성은 선물시장에서 현물시장으로 이전되었다. 이에 반하여 CER시장은 현물시장에서 가격발견에 우위성이 나타났으나 선물시장으로의 변동성 이전은 없었다. 본 연구가 갖는 정책적 함의는 배출권거래 및 감축시장 균형을 달성하기 위해서는 가격 단절성 방지를 위한 정책적 배려가 필요하다는 점이다. 이를 위해 첫째, 시장개설 초기의 시장실패 요인에 대한 이해를 통해 시장조성이 필요한데 구체적인 내용으로 할당량 배분에 있어 과학적 검증 및 인증, 배출권 가격결정의 혼성적 접근(Hybrid approaches)으로 시장 위험과 가격변동성을 관리할 필요가 있고, 급격한 제도변경을 사전에 차단하여 거래 단절을 방지해야 할 것이다.
Abstract
Since the implementation of the European Union emission trading scheme in 2005, the markets of EUA and CDM has steadily expanded over the commitment periods. Korea Emissions Trading will start in 2015 by the National Assembly passed a bill which is a cap and trade system to reduce carbon emissions. This paper focus on the possibility of arbitrage and price discovery in carbon emission markets using EUA, CER spot/ futures market data of ICE and BlueNext from January 2009 to December 2011. The results can be summarized as follows; first, we found that Arbitrage trade between spot and futures in EUA and CER market is possible by stable long run equilibrium relation. But Arbitrage trade between EUA and CDM market is impossible due to market regulation and immature character of inter-market. Second, we identity that the futures to be the leader of price discovery and observe volatility spillover from the futures to the spot in EUA market. Third, we found the spot to the leader of price discovery in CER market, but spillover from the spot to the futures in CER market is not significant. The result help to understand the carbon emissions market when we will trade carbon emissions in 2015
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