EU 배출권거래가격과 화석연료가격 간의 동태적 상관관계 분석
Analysis on Dynamic Correlations between EU Emission Trading Price and Fossil Fuel Prices
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초록
본 연구에서는 유럽배출권거래가격(EUA)의 결정 요인으로 화석연료가격이 중요한 역할을 하고 있다는 사실을 바탕으로 실질 데이터를 이용하여 유럽배출권거래가격과 화석연료가격과의 동태적 상관관계를 계량 분석하였다. 일간 데이터인 각 변수들을 단위근 검정을 실시한 결과, 로그 차분할 경우 데이터가 단위근을 가지고 있는 안정적인 시계열이 되므로 로그 차분하여 선형회귀분석을 사용하였다. 분석 결과에 의하면 배출권거래가격은 유가(oil price)와 양(+)의 상관관계가 매우 높은 것으로 나타났으며 모두 유의 수준 99%의 영역에 포함되었다. 따라서 일일데이터와 같은 단기에서는 배출권거래가격과 유가는 상당히 밀접한 관계를 보이면서 움직이는 것으로 해석할 수 있으며, 단기 배출권거래가격을 전망하는데 있어서 유가가 주요한 지표가 될 수 있다. 그러나 ‘석탄과 가스가격과의 차이(coal-gas price differentials)’는 배출권거래가격과의 상관관계가 유의수준 안에 있지 않음을 알 수 있다. 이는 데이터가 일간 데이터이기 때문에 발전회사의 연료전환 의사결정이 본 분석에서는 실증적으로 반영되기는 힘들었기 때문에 상관관계가 없는 것으로 나타난 것으로 해석할 수 있다.
Abstract
This paper analyzed dynamic correlations between fossil fuel prices and EUA price in the context that fossil fuel prices are an important determinant factors in EUA price. When we log differentiate each data, these data can be stable times series, then we estimate causal relationships by linear regressions. EUA price were highly positively correlated with an oil price and the coefficients of oil price to EUA price is within 99% confidence interval. In short term analysis, emission trading price and oil price has close relationships and move together. So oil price can be an important index in forecasting emission trading prices. The coefficients of CGD(Coal- Gas Differentials) to EUA price are not in 95% confidence interval. It is because CGD(which indicates fuel switching in power generating sector) affects to EUAs in the longer term. In other words, It is because this analysis does not reflect empirically whether power generating company make a decision on fuel switching in short term.
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