Palazzi Rafael Baptista, Quintino Derick David, Ferreira Paulo Jorge Silveira, Bekun Festus Victor
Getulio Vargas Foundation (FGV), São Paulo School of Business Administration, Sao Paulo, Brazil.
Independent Researcher, Nova Odessa, SP, 13380-009, Brazil.
Environ Sci Pollut Res Int. 2024 Mar;31(13):20678-20688. doi: 10.1007/s11356-024-32387-x. Epub 2024 Feb 17.
The transition to a low-carbon economy is imperative to reduce reliance on fossil fuels and mitigate pollution emissions. This preposition also aligns with the United Nations Sustainable Development Goals (SDGs-13), which highlight the climate change action. In this vein, Brazil has implemented the Decarbonization Credit (CBIOS) program to incentivize biofuel production and promote environmental sustainability through carbon credit emissions. To this end, the present study evaluates the effectiveness of the CBIO contract as a hedging tool for investors in the face of energy price fluctuations and decarbonization efforts. Specifically, we employ conditional dynamic correlation (DCC-GARCH) and optimal hedge ratio (HR) techniques to assess the relationship between CBIO and the futures and spot prices of sugar, oil, and ethanol. Our findings suggest that the current CBIO contract is not an effective hedge against energy spot and future prices. However, our analysis identifies a strengthening correlation between ethanol traded in Chicago and CBIO over time, highlighting the potential for an underlying contract to serve as an effective hedging tool in the future. Our study adds to the existing literature on carbon pricing mechanisms and their impact on financial markets, emphasizing the importance of sustainable energy policies and their potential to mitigate the risks associated with energy price volatility and decarbonization efforts.
向低碳经济转型对于减少对化石燃料的依赖和减轻污染排放至关重要。这一主张也符合联合国可持续发展目标（SDGs-13），该目标强调气候变化行动。有鉴于此，巴西实施了脱碳信贷（CBIOS）计划，以激励生物燃料生产，并通过碳排放信用来促进环境可持续性。为此，本研究评估了CBIOS合约作为投资者应对能源价格波动和脱碳努力的套期保值工具的有效性。具体而言，我们采用条件动态相关性（DCC-GARCH）和最优套期保值比率（HR）技术来评估CBIOS与糖、石油和乙醇的期货及现货价格之间的关系。我们的研究结果表明，当前的CBIOS合约并非针对能源现货和期货价格的有效套期保值工具。然而，我们的分析发现，随着时间的推移，在芝加哥交易的乙醇与CBIOS之间的相关性在增强，这凸显了基础合约未来作为有效套期保值工具的潜力。我们的研究丰富了关于碳定价机制及其对金融市场影响的现有文献，强调了可持续能源政策的重要性及其减轻与能源价格波动和脱碳努力相关风险的潜力。
