에너지가격이 탄소배출권가격에 미치는 영향에 대한 분석
Research on the Effects of Energy Prices on Carbon Market Prices
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초록
국문초록본 연구에서는 에너지가격과 탄소배출권가격의 비대칭적 관계를 분석하기 위해 Gregory-Hansen 공적분 방법과 threshold 모형을 이용하였다. 탄소배출권가격 모형은 구조변화를 갖는 공적분 관계가 존재하는 것으로 나타났다. 석탄가격은 배출권가격에 유의한 음(-)의 영향을 미치지만, 석유가격과 천연가스가격이 탄소배출권가격에 미치는 영향은 국면에 따라 다르게 나타났다. 탄소배출권가격이 직전 시기보다 낮은 국면(국면 1)에서 석유 및 천연가스 가격은 탄소배출권가격에 양(+)의 영향을 미치지만, 직전 시기보다 탄소배출권가격이 높은 국면(국면 2)에서는 탄소배출권가격에 음의 영향을 미쳤다. 이는 에너지시장과 탄소배출권시장은 연계되어 있지만, 분석기간과 국면에 따라 다를 수 있는 비대칭적 관계라는 것을 의미한다. 이와 같은 정보를 적절하게 활용한다면 에너지시장과 탄소시장의 관계를 좀 더 폭넓게 이해할 수 있을 것이다.
Abstract
This study analyzed the effects of the energy prices on the European Union Emission Trading Scheme(EU ETS) EUA price. Gregory-Hansen analysis is used to examine cointegration considering a structural change, and threshold models are used to examine asymmetric relations between energy prices and carbon market price. There was a cointegration relation-ship with a break of regime and level between energy prices and carbon market price. The preceding carbon market price was selected as the most suitable critical variable. Results show that coal price has a negative effect on carbon market price irrespective of phases. However, the effects of oil and gas prices on carbon market price are various depending on the phase. Considering structural changes to analyze the linkages between energy markets and carbon markets, and using asymmetric relationships according to phases, will help to understand the relationship between energy markets and carbon markets.
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