Impact Assessment of Environmental Power Provisioning: Analyzing Spillovers between Energy and Carbon Markets

doi:10.15266/KEREA.2025.34.1.55

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2025 Vol.34, Issue 1 Preview Page Next Page

Research Paper

Impact Assessment of Environmental Power Provisioning: Analyzing Spillovers between Energy and Carbon Markets 환경급전제도 시행과 평가: 탄소 시장의 충격 전이효과 분석: 이서진*‧유종민**
Seojin Lee* and Jongmin Yu**; *홍익대학교 경제학과 부교수, 제1저자(e-mail: sjlee@hongik.ac.kr)
**홍익대학교 경제학과 부교수, 교신저자(e-mail: yucono@hongik.ac.kr)

*Associate Professor, Department of Economics, Hongik University, First author (e-mail: sjlee@hongik.ac.kr)
**Associate Professor, Department of Economics, Hongik University, Corresponding author (e-mail: yucono@hongik.ac.kr)

31 March 2025. pp. 55-78

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Abstract

Using the spillover index proposed by Diebold and Yilmaz (2012), we examine the extent of risk transmission and linkages among domestic emission allowance prices, international energy prices and wholesale electricity prices (System marginal price, SMP). Although the interconnections between greenhouse gas (GHG) emissions, fossil energy, and the electricity sector are becoming increasingly evident in major countries such as the EU and the US, there is a notable lack of interconnectivity between the domestic electricity and the emissions markets, particularly since the implementation of the environmental power provisioning system in January 2022. Moreover the shock transmission is estimated to be close to zero, meaning that the objective of the system, which is to reduce carbon through fuel switching by linking the price of emission allowances to the price of electricity, has not been achieved Furthermore, the price of emission allowances does not instantaneously reflect international energy prices or information pertaining to the electricity market. This indicates that policy initiatives aimed at establishing an effective emission trading market are essential for reducing GHG emissions through market linkages.

Keywords

Emissions market

Cost settlement

Shock transmission

System marginal price

Fuel switching

본 논문은 Diebold Yilmaz spillover index(2012)를 활용하여 국내 배출권 가격과 국제에너지 가격 및 전력계통한계가격(SMP) 간 충격의 전이효과를 추정함으로써 시장 간 위험 전달 체계와 연동 정도를 파악하였다. EU나 미국 등 주요국의 경우 배출권과 화석에너지, 전력시장 간의 연관성이 점차 증가하는 것으로 알려졌지만, 국내 전력시장과 배출권 시장 간 연계는 매우 낮은 것으로 나타났다. 특히 배출권 가격 부담을 전력 도매가에 내재화한 환경급전제도가 2022년 1월 도입된 이후, 오히려 충격의 전이 효과는 더욱 감소하여 거의 0에 가까운 것으로 추정되었다. 이러한 결과는 배출권 가격을 전력 가격에 연동시킴으로써 연료 전환을 유도하고 탄소 저감을 실현하겠다는 제도의 본래 취지가 제대로 달성되고 있는지에 대한 의문을 제기한다. 또한, 배출권 가격이 국제에너지 가격이나 전력시장의 변동성을 신속하게 반영하지 못하는 것으로 나타나, 시장 간 가격 연동성과 효율성을 제고하기 위한 정책적 노력이 필요함을 시사한다.

키워드

배출권 시장

비용정산

충격 전이효과

전력계통한계가격

연료전환

References

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BenSaida, A., H. Litimi, and O. Abdallah, “Volatility Spillover Shifts in Global Financial Markets,” Economic Modelling, Vol. 73, 2018, pp. 343~353.10.1016/j.econmod.2018.04.011
Crossland, J., B. Li, and E. Roca, “Is the European Union Emissions Trading Scheme (EU ETS) informationally efficient? Evidence from momentum-based trading strategies,” Applied Enery, Vol. 109, 2013, pp. 10~23.10.1016/j.apenergy.2013.03.079
Diebold, F. X., and K. Yilmaz, “Better to Give Than to Receive: Predictive Directional Measurement of Volatility Spillovers,” International Journal of Forecasting, Vol. 28, No. 1, 2012, pp. 57~66.10.1016/j.ijforecast.2011.02.006
Diebold, F. X., and K. Yilmaz, “Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets,” Economic Journal, Vol. 119, 2009, pp. 158~171.10.1111/j.1468-0297.2008.02208.x
Efimova, O., and A. Serletis, “Energy Markets Volatility Modelling Using GARCH,” Energy Economics, Vol. 43, 2014, pp. 264~273.10.1016/j.eneco.2014.02.018
Fell, H., B. Hintermann, and H. Vollebergh, “Carbon Content of Electricity Futures in Phase II of the EU ETS,” Energy Journal, Vol. 36, 2015, pp. 61~83.10.5547/01956574.36.4.hfel
Frondel, M., C. M. Schmidt, and C. Vance, “Emissions Trading: Impact on Electricity Prices and Energy-intensive Industries,” Emission Trading, Vol. 47, 2012, pp. 104~111.10.1007/s10272-012-0410-2
Gong, X., R. Shi, J. Xu, and B. Lin, “Analyzing Spillover Effects Between Carbon and Fossil Energy Markets from a Time-varying Perspective,” Applied Energy, Vol. 285, No. 1, 2021, 116384.10.1016/j.apenergy.2020.116384
Han, L., N. Kordzakhia, and S. Trück, “Volatility Spillovers in Australian Electricity Markets,” Enery Economics, Vol. 90, 2020, 104782.10.1016/j.eneco.2020.104782
Hintermann, B., “Allowance Price Drivers in the First Phase of the EU ETS,” Journal of Environmental Economics and Management, Vol. 59, No. 1, 2010, pp. 43~56.10.1016/j.jeem.2009.07.002
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Keppler, J. H., and M. Cruciani, “Rents in the European Power Sector Due to Carbon Trading,” Energy Policy, Vol. 38, No. 8, 2010, pp. 4280~4290.10.1016/j.enpol.2010.03.057
Klossner, S., and R. Sekkel, “International Spillovers of Policy Uncertainty,” Economics Letters, Vol. 124, No. 3, 2014, pp. 508~512.10.1016/j.econlet.2014.07.015
Lee, S., and Y. M. Kim, “Volattility Spillovers Across Financial Markets: The Role of Oil Price Uncertainty,” Applied Economic Letters, Vol. 30, No. 17, 2023, pp. 2342~2347.10.1080/13504851.2022.2097167
Liu, M., D. Margaritis, and Y. Zhang, “Market-driven Coal Prices and State-administered Electricity Prices in China,” Energy Economics, Vol. 40, 2013, pp. 167~175.10.1016/j.eneco.2013.05.021
Ma, R., Z. Liu, and P. Zhai, “Does Economic Policy Uncertainty Drive Volatility Spillovers in Electricity Markets: Time and Frequency Evidence,” Enery Economics, Vol. 107, 2022, 105848.10.1016/j.eneco.2022.105848
Mo, J., L. Zhu, and Y. Fan, “The Impact of the EU ETS on the Corporate Value of European Electricity Corporations,” Energy, Vol. 45, 2012, pp. 3~11.10.1016/j.energy.2012.02.037
Qiao, S., Y. J. Dang, Z. Y. Ren, and K. Q. Zhang, “The Dynamic Spillovers Among Carbon, Fossil Energy and Electricity Markets Based on a TVP-VAR-SV Method,” Energy, Vol. 266, No. 1, 2023, 126344.10.1016/j.energy.2022.126344
Sijm, J., K. Neuhoff, and Y. Chen, “CO₂ Cost Pass-through and Windfall Profits in the Power Sector,” Climate Policy, Vol. 6, 2006, pp. 49~72.10.1080/14693062.2006.9685588
Soytas, U., and A. Oran, “Volatility Spillover from World Oil Spot Markets to Aggregate and Electricity Stock Index Returns in Turkey,” Applied Energy, Vol. 88, 2011, pp. 354~360.10.1016/j.apenergy.2010.07.018
Veith, S., J. R. Werner, and J. Zimmermann, “Capital Market Response to Emission Rights Returns: Evidence from the European Power Sector,” Energy Economics, Vol. 34, 2009, pp. 605~613.10.1016/j.eneco.2009.01.004
Wang, Y., and Z. Guo, “The Dynamic Spillover Between Carbon and Energy Markets: New Evidence,” Energy, Vol. 149, 2018, pp. 24~33.10.1016/j.energy.2018.01.145
Zhao, Y., Z. Zhou, K. Zhang, Y. Huo, D. Sun, H. Zhao, J. Sun, and S. Guo, “Research on Spillover Effect Between Carbon Market and Electricity Market: Evidence from Northern Europe,” Energy, Vol. 263, No. 15, 2023, 126107.10.1016/j.energy.2022.126107
Zhu, B., D. Han, J. Chevallier, and Y. Wei, “Dynamic Multiscale Interactions Between European Carbon and Electricity Markets During 2005-2016,” Energy Policy, Vol. 107, 2017, pp. 309~322.10.1016/j.enpol.2017.04.051

Information

Publisher :Environmental and Resource Economics Review
Publisher(Ko) :자원 · 환경경제연구
Journal Title :자원·환경경제연구
Journal Title(Ko) :Environmental and Resource Economics Review
Volume : 34
No :1
Pages :55-78
DOI :https://doi.org/10.15266/KEREA.2025.34.1.55

[1] 유종민‧이서진, “연료전환을 위한 탄소가격 반영 정책 비교분석”, 「한국기후변화학회지」, 제13권 제3호, 2022.10.15531/KSCCR.2022.13.3.365

[2] 손동희‧전용일, “한국 탄소배출권시장 가격결정체계의 학습효과 연구”, 「자원‧환경경제연구」, 제27권 제4호, 2018.

[3] 김남일, “환경급전을 고려한 전력시장 운영방안 연구”, 수시연구보고서 17-01, 에너지경제연구원, 2017.

[4] 김남일, “배출권비용의 전력시장 반영방안 연구”, 기본연구보고서 20-07, 에너지경제연구원, 2020.

[5] 조홍종, “전력시장 제도 및 전력가격 체계의 쟁점과 과제”, 국회입법조사처, 2023.

[6] 윤여창, “배출권거래제의 시장기능 개선 방안”, KDI Focus, 한국개발연구원, 2023.

[7] BenSaida, A., H. Litimi, and O. Abdallah, “Volatility Spillover Shifts in Global Financial Markets,” Economic Modelling, Vol. 73, 2018, pp. 343~353.10.1016/j.econmod.2018.04.011

[8] Crossland, J., B. Li, and E. Roca, “Is the European Union Emissions Trading Scheme (EU ETS) informationally efficient? Evidence from momentum-based trading strategies,” Applied Enery, Vol. 109, 2013, pp. 10~23.10.1016/j.apenergy.2013.03.079

[9] Diebold, F. X., and K. Yilmaz, “Better to Give Than to Receive: Predictive Directional Measurement of Volatility Spillovers,” International Journal of Forecasting, Vol. 28, No. 1, 2012, pp. 57~66.10.1016/j.ijforecast.2011.02.006

[10] Diebold, F. X., and K. Yilmaz, “Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets,” Economic Journal, Vol. 119, 2009, pp. 158~171.10.1111/j.1468-0297.2008.02208.x

[11] Efimova, O., and A. Serletis, “Energy Markets Volatility Modelling Using GARCH,” Energy Economics, Vol. 43, 2014, pp. 264~273.10.1016/j.eneco.2014.02.018

[12] Fell, H., B. Hintermann, and H. Vollebergh, “Carbon Content of Electricity Futures in Phase II of the EU ETS,” Energy Journal, Vol. 36, 2015, pp. 61~83.10.5547/01956574.36.4.hfel

[13] Frondel, M., C. M. Schmidt, and C. Vance, “Emissions Trading: Impact on Electricity Prices and Energy-intensive Industries,” Emission Trading, Vol. 47, 2012, pp. 104~111.10.1007/s10272-012-0410-2

[14] Gong, X., R. Shi, J. Xu, and B. Lin, “Analyzing Spillover Effects Between Carbon and Fossil Energy Markets from a Time-varying Perspective,” Applied Energy, Vol. 285, No. 1, 2021, 116384.10.1016/j.apenergy.2020.116384

[15] Han, L., N. Kordzakhia, and S. Trück, “Volatility Spillovers in Australian Electricity Markets,” Enery Economics, Vol. 90, 2020, 104782.10.1016/j.eneco.2020.104782

[16] Hintermann, B., “Allowance Price Drivers in the First Phase of the EU ETS,” Journal of Environmental Economics and Management, Vol. 59, No. 1, 2010, pp. 43~56.10.1016/j.jeem.2009.07.002

[17] Hobbie, H., M. Schmidt, amd D. Most, “Windfall Profits in the Power Sector during Phase III of the EU ETS: Interplay and Effects of Renewables and Carbon Prices,” Journal of Cleaner Production, Vol. 240, 2019, 118066.10.1016/j.jclepro.2019.118066

[18] Ji, Q., D. Zhang, and J. Geng, “Information Linkage, Dynamic Spillovers in Prices and Volatility Between the Carbon and Energy Markets,” Journal of Cleaner Production, Vol. 198, 2018, pp. 972~978.10.1016/j.jclepro.2018.07.126

[19] Keppler, J. H., and M. Cruciani, “Rents in the European Power Sector Due to Carbon Trading,” Energy Policy, Vol. 38, No. 8, 2010, pp. 4280~4290.10.1016/j.enpol.2010.03.057

[20] Klossner, S., and R. Sekkel, “International Spillovers of Policy Uncertainty,” Economics Letters, Vol. 124, No. 3, 2014, pp. 508~512.10.1016/j.econlet.2014.07.015

[21] Lee, S., and Y. M. Kim, “Volattility Spillovers Across Financial Markets: The Role of Oil Price Uncertainty,” Applied Economic Letters, Vol. 30, No. 17, 2023, pp. 2342~2347.10.1080/13504851.2022.2097167

[22] Liu, M., D. Margaritis, and Y. Zhang, “Market-driven Coal Prices and State-administered Electricity Prices in China,” Energy Economics, Vol. 40, 2013, pp. 167~175.10.1016/j.eneco.2013.05.021

[23] Ma, R., Z. Liu, and P. Zhai, “Does Economic Policy Uncertainty Drive Volatility Spillovers in Electricity Markets: Time and Frequency Evidence,” Enery Economics, Vol. 107, 2022, 105848.10.1016/j.eneco.2022.105848

[24] Mo, J., L. Zhu, and Y. Fan, “The Impact of the EU ETS on the Corporate Value of European Electricity Corporations,” Energy, Vol. 45, 2012, pp. 3~11.10.1016/j.energy.2012.02.037

[25] Qiao, S., Y. J. Dang, Z. Y. Ren, and K. Q. Zhang, “The Dynamic Spillovers Among Carbon, Fossil Energy and Electricity Markets Based on a TVP-VAR-SV Method,” Energy, Vol. 266, No. 1, 2023, 126344.10.1016/j.energy.2022.126344

[26] Sijm, J., K. Neuhoff, and Y. Chen, “CO₂ Cost Pass-through and Windfall Profits in the Power Sector,” Climate Policy, Vol. 6, 2006, pp. 49~72.10.1080/14693062.2006.9685588

[27] Soytas, U., and A. Oran, “Volatility Spillover from World Oil Spot Markets to Aggregate and Electricity Stock Index Returns in Turkey,” Applied Energy, Vol. 88, 2011, pp. 354~360.10.1016/j.apenergy.2010.07.018

[28] Veith, S., J. R. Werner, and J. Zimmermann, “Capital Market Response to Emission Rights Returns: Evidence from the European Power Sector,” Energy Economics, Vol. 34, 2009, pp. 605~613.10.1016/j.eneco.2009.01.004

[29] Wang, Y., and Z. Guo, “The Dynamic Spillover Between Carbon and Energy Markets: New Evidence,” Energy, Vol. 149, 2018, pp. 24~33.10.1016/j.energy.2018.01.145

[30] Zhao, Y., Z. Zhou, K. Zhang, Y. Huo, D. Sun, H. Zhao, J. Sun, and S. Guo, “Research on Spillover Effect Between Carbon Market and Electricity Market: Evidence from Northern Europe,” Energy, Vol. 263, No. 15, 2023, 126107.10.1016/j.energy.2022.126107

[31] Zhu, B., D. Han, J. Chevallier, and Y. Wei, “Dynamic Multiscale Interactions Between European Carbon and Electricity Markets During 2005-2016,” Energy Policy, Vol. 107, 2017, pp. 309~322.10.1016/j.enpol.2017.04.051

자원·환경경제연구 ISSN:1229-9146(Print) Environmental and Resource Economics Review

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