Flori Andrea
Department of Management, Economics and Industrial Engineering, Politecnico di Milano, 20156, Milan, Italy.
Sci Rep. 2024 Sep 17;14(1):21708. doi: 10.1038/s41598-024-72518-5.
The European Union Emissions Trading System (EU ETS) is designed to promote carbon reduction in a cost-effective and economically efficient manner. To meet their compliance requirements, participants within the EU ETS can either invest in carbon abatement, thereby improving their environmental performances, or purchase carbon allowances from the market. Our analysis aims to investigate the structural features of the EU ETS trade network of allowances and assess its robustness to spillovers propagated from energy commodities. We build the EU ETS trade network of allowances on a daily basis by leveraging a granular dataset comprising over 32k accounts that performed approximately 720k trades, involving more than 127 billion of allowances from 2005 to 2020. Importantly, our analysis is able to cover entirely the first three phases of the EU ETS, thus providing an updated view on the functioning of the EU ETS. We find that the EU ETS trade network of allowances is disassortative and characterized by very active nodes belonging to the energy sector. Moreover, we detect that energy commodity transmission channels can be substantial and may shape the way nodes transfer allowances, with the configuration of the EU ETS often being a net receiver of spillovers. These findings are robust even when we analyze extreme quantiles of the distribution to account for distressed periods. Our study shows how the functioning of the EU ETS can be influenced by spillovers imported from energy commodity markets. We discuss how investors can build portfolios that either hedge or amplify the impact of such spillovers, depending on their risk appetite. Given that energy commodities are significant inputs in the production processes of energy firms-who are highly active participants in the trade network of allowances-analyzing market responses to shocks in energy commodities is crucial for the effective implementation of the policy.
欧盟排放交易体系（EU ETS）旨在以具有成本效益和经济效率的方式促进碳减排。为满足合规要求，EU ETS的参与者既可以投资于碳减排，从而改善其环境绩效，也可以从市场购买碳排放配额。我们的分析旨在研究EU ETS配额交易网络的结构特征，并评估其对能源商品传播的溢出效应的稳健性。我们利用一个详细数据集，每天构建EU ETS配额交易网络，该数据集包含超过32,000个账户，这些账户在2005年至2020年期间进行了约720,000笔交易，涉及超过1270亿个配额。重要的是，我们的分析能够完全覆盖EU ETS的前三个阶段，从而提供关于EU ETS运作的最新观点。我们发现，EU ETS配额交易网络是异质连接的，其特征是属于能源部门的非常活跃的节点。此外，我们检测到能源商品传输渠道可能很大，并可能塑造节点转移配额的方式，EU ETS的结构通常是溢出效应的净接收者。即使我们分析分布的极端分位数以考虑困境时期，这些发现仍然稳健。我们的研究表明，EU ETS的运作如何受到从能源商品市场进口的溢出效应的影响。我们讨论了投资者如何根据其风险偏好构建能够对冲或放大此类溢出效应影响的投资组合。鉴于能源商品是能源公司生产过程中的重要投入——而能源公司是配额交易网络中的高度活跃参与者——分析市场对能源商品冲击的反应对于政策的有效实施至关重要。
