请真正的碳定价站出来好吗？

IF 0.8 Q3 ECONOMICS

Economic Notes Pub Date : 2024-10-03 DOI:10.1111/ecno.12250

Marco Fugazza, David Neto

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引用次数: 0

摘要

本文旨在从主要碳定价中提取一个共同因素，将其解释为有效碳定价或影子定价。为此，我们使用了一个动态因素模型，其中未观测到的共同因素和特异性噪声是潜在的非平稳过程。该模型采用两步卡尔曼平滑程序进行估计。我们发现：(i) 提取的公共因子（即有效碳定价）的值非常低，从每吨 2.05 美元到 16.1 美元不等；更重要的是，(ii) 该因子与市场价格不存在协整关系。最后一个结果凸显了碳市场完全缺乏一体化。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Will the real carbon pricing please stand up?

This paper aims at extracting a common factor from major carbon pricing which is interpreted as an effective carbon pricing or a shadow pricing. For this purpose, we use a dynamic factor model for which the unobserved common factors and idiosyncratic noises are potentially nonstationary processes. The two-step Kalman smoother procedure is used to estimate the model. We found (i) that the extracted common factor (i.e., the effective carbon pricing) exhibits very low values which range from 2.05 to 16.1 USD per ton, and more importantly, (ii) this factor does not cointegrate with the market prices. This last result highlights a total lack of integration of carbon markets.

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来源期刊

Economic Notes ECONOMICS-

CiteScore

3.30

自引率

6.70%

发文量

期刊介绍： With articles that deal with the latest issues in banking, finance and monetary economics internationally, Economic Notes is an essential resource for anyone in the industry, helping you keep abreast of the latest developments in the field. Articles are written by top economists and executives working in financial institutions, firms and the public sector.